Stochastic Dynamic Utilities and Inter-Temporal Preferences. (arXiv:1803.05244v4 [math.PR] UPDATED)

We propose an axiomatic approach which economically underpins the representation of dynamic preferences in terms of a stochastic utility function, sensitive to the information available to the decision maker. Our construction is iterative and based on inter-temporal preference relations, whose characterization is inpired by the original intuition given by Debreu's State Dependent Utilities (1960).