Lipschitz Bernoulli Utility Functions

Efe A. Ok, Nik Weaver

    Research output: Contribution to journalArticlepeer-review


    We obtain several variants of the classic von Neumann–Morgenstern expected utility theorem with and without the completeness axiom in which the derived Bernoulli utility functions are Lipschitz. The prize space in these results is an arbitrary separable metric space, and the utility functions are allowed to be unbounded. The main ingredient of our results is a novel (behavioral) axiom on the underlying preference relations, which is satisfied by virtually all stochastic orders. The proof of the main representation theorem is built on the fact that the dual of the Kantorovich–Rubinstein space is (isometrically isomorphic to) the Banach space of Lipschitz functions that vanish at a fixed point. An application to the theory of nonexpected utility is also provided.

    Original languageEnglish (US)
    Pages (from-to)728-747
    Number of pages20
    JournalMathematics of Operations Research
    Issue number2
    StatePublished - May 2023


    • Bernoulli utility
    • Kantorovich–Rubinstein space
    • Lipschitz functions
    • Lipschitz preorders
    • Wasserstein metric
    • expected utility representation

    ASJC Scopus subject areas

    • General Mathematics
    • Computer Science Applications
    • Management Science and Operations Research


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