In decision theory, the Anscombe-Aumann subjective expected utility model (also known as Anscombe-Aumann framework, Anscombe-Aumann approach, or Anscombe-Aumann representation theorem) is a framework to formalizing subjective expected utility (SEU) developed by Frank Anscombe and Robert Aumann.[1]
Anscombe and Aumann's approach can be seen as an extension of Savage's framework to deal with more general acts, leading to a simplification of Savage's representation theorem. It can also be described as a middle-course theory that deals with both objective uncertainty (as in the von Neumann-Morgenstern framework) and subjective uncertainty (as in Savage's framework).[2]
The Anscombe-Aumann framework builds upon previous work by Savage,[3] von Neumann, and Morgenstern[4] on the theory of choice under uncertainty and the formalization of SEU. It has since become one of the standard approaches to choice under uncertainty, serving as the basis for alternative models of decision theory such as maxmin expected utility, multiplier preferences and choquet expected utility.[5]
- ^ Anscombe, Frank; Aumann, Robert (1963). "A Definition of Subjective Probability". Annals of Mathematical Statistics. 34 (1): 199–205. doi:10.1214/aoms/1177704255.
- ^ Kreps, David (1988). Notes on the Theory of Choice. Westview Press. ISBN 978-0813375533.
- ^ Savage, Leonard J. (1954). The Foundations of Statistics. New York: John Wiley & Sons.
- ^ von Neumann, John; Morgenstern, Oskar (1944). Theory of Games and Economic Behavior. Princeton University Press. ISBN 978-0691130613.
{{cite book}}: ISBN / Date incompatibility (help) - ^ Gilboa, Itzhak (2009). Theory of Decision under Uncertainty. New York: Cambridge University Press. ISBN 978-0521741231.
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