Lumifer comments on Probabilities Small Enough To Ignore: An attack on Pascal's Mugging - Less Wrong Discussion
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Except, the VNM theorem in the form given applies to situations with finitely many possibilities. If there are infinitely many possibilities, then the generalized theorem does require bounded utility. This follows from precisely the Pascal's mugging-type arguments like the ones being considered here.
I am not sure I understand. Link?
http://arxiv.org/pdf/0907.5598.pdf
So, it's within the AIXI context and you feed your utility function infinite (!) sequences of "perceptions".
We're not in VNM land any more.