Finitely additive behavioral strategies: when do they induce an unambiguous expected payoff?

Abstract

We examine infinite horizon decision problems with arbitrary bounded payoff functions in which the decision maker uses finitely additive behavioral strategies. Since we only assume that the payoff function is bounded, it is well-known that these behavioral strategies generally do not induce unambiguously defined expected payoffs. Consequently, it is not clear how to compare behavioral strategies and define optimality. We address this problem by finding conditions on the payoff function that guarantee an unambiguous expected payoff regardless of which behavioral strategy the decision maker uses. To this end, we systematically consider various alternatives proposed in the literature on how to define the finitely additive probability measure on the set of infinite plays induced by a behavioral strategy.