A Non‐Bayesian Theory of State‐Dependent Utility

Econometrica ◽  
2019 ◽  
Vol 87 (4) ◽  
pp. 1341-1366 ◽  
Author(s):  
Brian Hill
Keyword(s):  
Expected Utility ◽  
State Dependence ◽  
Comparative Statics ◽  
Bayesian Theory ◽  
Subjective Expected Utility ◽  
State Dependent ◽  
Special Cases

Many decision situations involve two or more of the following divergences from subjective expected utility: imprecision of beliefs (or ambiguity), imprecision of tastes (or multi‐utility), and state dependence of utility. This paper proposes and characterizes a model of uncertainty averse preferences that can simultaneously incorporate all three phenomena. The representation supports a principled separation of (imprecise) beliefs and (potentially state‐dependent, imprecise) tastes. Moreover, the representation permits comparative statics separating the roles of beliefs and tastes, and is modular: it easily delivers special cases involving various combinations of the phenomena, as well as state‐dependent multi‐utility generalizations covering popular ambiguity models.

State-dependent signalling in queueing networks

1994 ◽  
Vol 26 (02) ◽  
pp. 436-455 ◽  
Author(s):  
W. Henderson ◽  
B. S. Northcote ◽  
P. G. Taylor
Keyword(s):  
Queueing Networks ◽  
State Dependence ◽  
Product Form ◽  
Batch Size ◽  
Single Server ◽  
Negative Customers ◽  
Affect Control ◽  
State Dependent ◽  
Special Cases ◽  
Equilibrium Distributions

It has recently been shown that networks of queues with state-dependent movement of negative customers, and with state-independent triggering of customer movement have product-form equilibrium distributions. Triggers and negative customers are entities which, when arriving to a queue, force a single customer to be routed through the network or leave the network respectively. They are ‘signals' which affect/control network behaviour. The provision of state-dependent intensities introduces queues other than single-server queues into the network. This paper considers networks with state-dependent intensities in which signals can be either a trigger or a batch of negative customers (the batch size being determined by an arbitrary probability distribution). It is shown that such networks still have a product-form equilibrium distribution. Natural methods for state space truncation and for the inclusion of multiple customer types in the network can be viewed as special cases of this state dependence. A further generalisation allows for the possibility of signals building up at nodes.

State-dependent signalling in queueing networks

1994 ◽  
Vol 26 (2) ◽  
pp. 436-455 ◽  
Author(s):  
W. Henderson ◽  
B. S. Northcote ◽  
P. G. Taylor
Keyword(s):  
Queueing Networks ◽  
State Dependence ◽  
Product Form ◽  
Batch Size ◽  
Single Server ◽  
Negative Customers ◽  
Affect Control ◽  
State Dependent ◽  
Special Cases ◽  
Equilibrium Distributions

It has recently been shown that networks of queues with state-dependent movement of negative customers, and with state-independent triggering of customer movement have product-form equilibrium distributions. Triggers and negative customers are entities which, when arriving to a queue, force a single customer to be routed through the network or leave the network respectively. They are ‘signals' which affect/control network behaviour. The provision of state-dependent intensities introduces queues other than single-server queues into the network.This paper considers networks with state-dependent intensities in which signals can be either a trigger or a batch of negative customers (the batch size being determined by an arbitrary probability distribution). It is shown that such networks still have a product-form equilibrium distribution. Natural methods for state space truncation and for the inclusion of multiple customer types in the network can be viewed as special cases of this state dependence. A further generalisation allows for the possibility of signals building up at nodes.

J. M. Keynes' Decision Theory, a Technical Note

1994 ◽  
Vol 74 (2) ◽  
pp. 465-466
Author(s):  
Michael Emmett Brady
Keyword(s):  
Decision Theory ◽  
Expected Utility ◽  
Technical Note ◽  
Subjective Expected Utility ◽  
Monetary Value ◽  
Special Cases ◽  
Risk Neutral ◽  
Expected Monetary Value

It is demonstrated mathematically that both the expected monetary value and linear, risk-neutral, subjective, expected utility rules are special cases of J. M. Keynes' weighted monetary value rule.

Lexicographic state-dependent subjective expected utility

1991 ◽  
Vol 4 (3) ◽  
pp. 251-269 ◽  
Author(s):  
Irving H. Lavalle ◽  
Peter C. Fishburn
Keyword(s):  
Expected Utility ◽  
Subjective Expected Utility ◽  
State Dependent

scholarly journals State dependent correlations in the Vasicek default model

2020 ◽  
Vol 8 (1) ◽  
pp. 298-329
Author(s):  
A. Metzler
Keyword(s):  
Risk Factor ◽  
Systematic Risk ◽  
State Dependence ◽  
Factor Loading ◽  
Perfect State ◽  
Vasicek Model ◽  
Default Model ◽  
State Dependent ◽  
Special Cases ◽  
State Of The Economy

AbstractThis paper incorporates state dependent correlations (those that vary systematically with the state of the economy) into the Vasicek default model. Other approaches to randomizing correlation in the Vasicek model have either assumed that correlation is independent of the systematic risk factor (zero state dependence) or is an explicit function of the systematic risk factor (perfect state dependence). By contrast, our approach allows for an arbitrary degree of state dependence and includes both zero and perfect state dependence as special cases. This is accomplished by expressing the factor loading as a function of an auxiliary (Gaussian) variable that is correlated with the systematic risk factor. Using Federal Reserve data on delinquency rates we use maximum likelihood to estimate the parameters of the model, and find the empirical degree of state dependence to be quite high (but generally not perfect). We also find that randomizing correlation, without allowing for state dependence, does not improve the empirical performance of the Vasicek model.

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