Uncertainty and Information

See our Surveys of Uncertainty and Information for an account of its development.  

Groundwork in Probability Theory

• Blaise Pascal, 1623-1662. - (1), (2), (3), (4),
  • Letters to Fermat, 1654

• Jacob Bernoulli, 1654-1705 - (1)
  • Ars Conjectandi, 1713 - (title page)

• Daniel Bernoulli, 1700-1782.

• Rev. Thomas Bayes, 1702-1761. - (1), (2)
  • "An Essay Toward Solving a Problem in the Doctrine of Chances", 1763, Philosophical Transactions of the Royal Society
  • English Presbyterian minister whose fame rests entirely on his posthumously published 1763 paper which introduced "Bayes' theorem" and the concept of Bayesian updating. As a result, Bayes can be credited with the introduction of subjective probability theory as well as the theory of information.

• Pierre Simon de Laplace, 1749-1827. - (1), (2)
  • A Philosophical Essay on Probabilities, 1795.
  • Théorie analytique des probabilités, 1812
  • Essai philosophique sur les probabilités, 1812

Pioneers on Uncertainty and Information in Economics

• Francis Ysidro Edgeworth, 1845-1926.

• Irving Fisher, 1867-1947.

• Frank H. Knight, 1885-1972.

• John Maynard Keynes, 1883-1946.

• Sir John R. Hicks, 1904-1989.

• Albert G. Hart, 1909-

• Gerhard Tintner, 1907-

• Friedrich August von Hayek, 1889-1992.

• George J. Stigler, 1911-1991.

The Expected Utility Hypothesis

• John von Neumann, 1903-1957.

• Oskar Morgenstern, 1902-1976.

• Jacob Marschak, 1898-1977.

• Harry M. Markowitz, 1923-

• William J. Baumol, 1922-

• Israel Nathan Herstein, 1923-1988. - (1), (2), (3)
  • "An Axiomatic Approach to Measurable Utility" with J. Milnor, 1953, Econometrica
  • "Nonnegative Square Matrices" with G. Debreu, 1953, Econometrica
  • "Some Mathematical Methods and Techniques in Economics" 1953, Quarterly Applied Mathematics
  • Topics in Algebra, 1964
  • Noncommutative Rings, 1968
  • Rings with Involution, 1976
  • Abstract Algebra, 1986
  • Polish-born Chicago mathematician, whose 1953 contributions added substantially to the mathematical arsenal of economics. With John Milnor, Herstein developed a simpler axiomatization of the von Neumann-Morgenstern expected utility theory.  With Debreu, Herstein helped introduce the Frobenius Theorems into economics

• John W. Pratt

• Peter A. Diamond, 1940-

• Menachem E. Yaari, 1935-

• Joseph E. Stiglitz, 1942-

• Michael D. Rothschild, 1942-

• Stephen A. Ross, 1944-

Subjective Expected Utility Theory

• Frank P. Ramsey, 1903-1930.

• Bruno de Finetti, 1906-1985. - (1)
  • "La Prévision: ses lois logiques, ses sources subjectives", 1937, Annales de l'Institut Henri Poincaré
  • "Le vrai et le probable", 1949, Dialectica
  • "Sull' impostazione assiomatica del calcolo delle probabilita", 1949, Annali Triestini
  • "Recent Suggestions for the Reconciliations of the Theories of Probability", 1951, in Neyman, editor, Proceedings of Second Berkeley Symposium
  • "Sulla Preferibilita", 1952, Giornale degli Economisti.
  • Theory of Probability, 1974-5.

• Leonard J. Savage, 1917-1971

• Robert J. Aumann, 1930-

• Jacques H. Drèze, 1929-

State-Preference Theory

• Kenneth J. Arrow, 1921-

• Gerard Debreu, 1921-

• Jack Hirshleifer, 1925-

• Edmond Malinvaud, 1923-

• Roy Radner, 1927-

• Mordecai Kurz, 1934-

• Graciela Chichilnisky

• Geoffrey Heal, 1944-

Non-Expected Utility Theory

• Maurice Allais, 1911-

• George L.S. Shackle, 1903-1992. 

• Daniel Ellsberg

• Peter C. Fishburn

• David Schmeidler

• Mark J. Machina

• Edi Karni

• Soo-Hong Chew

• K.R. MacCrimmon

• John Quiggin

• Graham Loomes

• Robert Sugden

• Daniel Kahnemann, David Tversky and Experimental Economics

• Paul Davidson and the American Post-Keynesian School

Information Theory

• Claude E. Shannon, 1916-  (1), (2), (3), (4), (5), (6), (7), (8)
• "A Mathematical Theory of Communication", 1948, Bell System Technical Journal
• The father of information theory.

• Abraham Wald, 1902-1950.

• Jacob Marschak, 1898-1977.

• Leonid Hurwicz, 1917-

• Roy Radner, 1927-

• Jack Hirshleifer, 1925-

• William Vickrey, 1914-1996.

• James A. Mirrlees, 1936-

• Robert E. Lucas , Jr., 1937-

• Sanford J. Grossman

• Oliver D. Hart, 1948-

• George Akerlof

• A. Michael Spence, 1943-

• Joseph E. Stiglitz, 1942-

• John G. Riley

• Beth Allen

• T. Groves

• Peter J. Hammond

• Bent Holmstrom

• Michael C. Jensen, 1939-

• David M. Kreps, 1950-

• Charles Wilson 

• Margaret Bray

• Robert M. Townsend, 1948-

• Jean-Jacques Laffont, 1947-

• Paul R. Milgrom, 1948-

• Nancy L. Stokey

Resources on Uncertainty and Information

• HET Pages: Choice under Risk and Uncertainty, General Equilibrium under Uncertainty, Economics of Information, Game Theory
• "Who's Who and What's What in Rational Choice Theory" by Bob  Nau
• "Frequentist Probability and Choice under Uncertainty", by Alberto Baccini
• Decision theory references collected by Peter Wakker: (Entire file, Authors: A-E, F-K, L-R, S-Z)
• Decision Analysis Society (DAS), including: Lexicon of Decision Analysis, References and List of Journals
• List of References on Uncertainty Theory (with comments in Italian)