Subjective expected utility in games

Artikel

This paper extends Savage's subjective approach to probability and utility from decision problems under exogenous uncertainty to choice in strategic environments. Interactive uncertainty is modeled both explicitly, using hierarchies of preference relations, the analogue of beliefs hierarchies, and implicitly, using preference structures, the analogue of type spaces a la Harsanyi, and it is shown that the two approaches are equivalent. Preference structures can be seen as those sets of hierarchies arising when certain restrictions on preferences, along with the players' common certainty of the restrictions, are imposed. Preferences are a priori assumed to satisfy only very mild properties (reflexivity, transitivity, and monotone continuity). Thus, the results provide a framework for the analysis of behavior in games under essentially any axiomatic structure. An explicit characterization is given for Savage's axioms, and it is shown that a hierarchy of relatively simple preference relations uniquely identifies the decision maker's utilities and beliefs of all orders. Connections with the literature on beliefs hierarchies and correlated equilibria are discussed.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Theoretical Economics ; ISSN: 1555-7561 ; Volume: 3 ; Year: 2008 ; Issue: 3 ; Pages: 287-323 ; New York, NY: The Econometric Society

Classification and Topics

• Classification: Wirtschaft ; Game Theory and Bargaining Theory: General ; Information, Knowledge, and Uncertainty: General ; Criteria for Decision-Making under Risk and Uncertainty ; Asymmetric and Private Information; Mechanism Design ; Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
• Subject: Subjective probability ; preference hierarchies ; type spaces ; beliefs hierarchies ; common belief ; expected utility ; incomplete information ; correlated equilibria

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Di Tillio, Alfredo
• Event: Veröffentlichung
• (who): The Econometric Society
• (where): New York, NY
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/150114
• Last update: 10.03.2025, 11:42 AM CET