FRITTELLI, MARCO; MAGGIS, MARCO - In: International Journal of Theoretical and Applied … 14 (2011) 01, pp. 41-59
In a dynamic framework, we study the conditional version of the classical notion of certainty equivalent when the preferences are described by a stochastic dynamic utility u(x,t,ω). We introduce an appropriate mathematical setting, namely Orlicz spaces determined by the underlying preferences...