Game Theory & Math Economics: Abraham Neyman (HUJI) - "Additive valuations of streams of payoffs that obey the time-value of money principle: Characterization and robust optimization"

Sun, 01/11/201516:00-17:00
Elath Hall, 2nd floor, Feldman Building, Edmond Safra Campus
This paper characterizes the ordinal utilities over the bounded infinite streams of payoffs that satisfy the time-value of money principle and an additivity property, and those that in addition are impatient. Building on this characterization, the paper introduces the concept of optimization that is robust to small imprecision in the specification of the preference, and proves that the set of feasible streams of payoffs of a finite Markov Decision Process admits such a robust optimization.