期望效用理论的确定性等价方法

Certainy-equivalent Method for Choice under Uncertainty

本文说明不确定性选择的vonNeumannMorgenstern期望效用理论的实质是对每一种不确定性选择定义其确定性的等价,从而把不确定性的问题转化为确定性问题进行讨论。我们引入三个新的公理,来说明确定性等价的描述方法。这一方法与原来的理论是完全一致的,能更加直观,更清楚地说明问题的实质,并且可以直接推广到连续的情形。

New axioms are introduced to show that von-Neumann and Morgenstern's untility theory for choice under risk and uncertainty is to define certainy-equivalence of each uncertain choice.So we can transfer uncertain problems to certain ones.Our method has an easy extension to nonsimple probability distributions.