Common Mathematical Foundations of Expected Utility and Dual Utility Theories
Common Mathematical Foundations of Expected Utility and Dual Utility Theories
复制标题
预期效用和双重效用理论的共同数学基础
DOI：
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发表时间：
2012
影响因子：
3.1
通讯作者：
A. Ruszczynski
中科院分区：
文献类型：
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作者：
Darinka Dentcheva;A. Ruszczynski
我们表明，预期效用和对偶效用理论的主要结果可以从两个基本的数学思想：凸分析的分离原理和连续线性泛函的积分表示从功能分析中得到统一的方式。我们的分析揭示了效用函数的二重性。我们还得到了新的积分表示的对偶效用模型。
We show that the main results of the expected utility and dual utility theories can be derived in a unified way from two fundamental mathematical ideas: the separation principle of convex analysis, and integral representations of continuous linear functionals from functional analysis. Our analysis reveals the dual character of utility functions. We also derive new integral representations of dual utility models.