In decision theory, Savage's subjective expected utility model (also known as Savage's framework, Savage's axioms, or Savage's representation theorem) is a formalization of subjective expected utility (SEU) developed by Leonard J. Savage in his 1954 book The Foundations of Statistics,[1] based on previous work by Ramsey,[2] von Neumann[3] and de Finetti.[4]
Savage's model concerns with deriving a subjective probability distribution and a utility function such that an agent's choice under uncertainty can be represented via expected-utility maximization. His contributions to the theory of SEU consist of formalizing a framework under which such problem is well-posed, and deriving conditions for its positive solution.
- ^ Savage, Leonard J. (1954). The Foundations of Statistics. New York: John Wiley & Sons.
- ^ Ramsey, Frank (1931). "Chapter 4: Truth and Probability". In Braithwaite, R. B. (ed.). The Foundations of Mathematics and Other Logical Essays. London: Kegan Paul, Trench, Trubner, & Co.
- ^ von Neumann, John; Morgenstern, Oskar (1944). Theory of Games and Economic Behavior. Princeton University Press. ISBN 978-0691130613.
{{cite book}}: ISBN / Date incompatibility (help) - ^ de Finetti, Bruno (1937). "La prévision : ses lois logiques, ses sources subjectives". Annales de l'Institut Henri Poincaré. 7 (1): 1–68.
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