Subjective Recursive Expected Utility, Economic Theory
We axiomatize a subjective version of the recursive expected utility model. This development extends the seminal results of Kreps and Porteus (Econometrica 46:185:200 (1978)) to a subjective framework and provides foundations that are easy to relate to axioms familiar from timeless models of decision making under uncertainty. Our analysis also clarifies what is needed in going from a represention that applies within a single filtration to an across filtration representation.
Peter Klibanoff, Emre Ozdenoren
Klibanoff, Peter, and Emre Ozdenoren. 2007. Subjective Recursive Expected Utility. Economic Theory. 30(1): 49-87.