It isn’t a matter of switching a limit and an integral, or any means of infinity really. You could just consider the 1 number you’re currently on, your options are to continue or stop. To come out of the game with any money, one must at some point say “forget maximizing expected utility, I’m not risking losing what I’ve acquired”. By stopping, you lose expected utility compared to continuing exactly 1 more time. My point being that it is not always the case that “you must maximize expected utility”, for in some cases it may be wrong or impossible to do so.
All you’ve shown is that maximizing expected utility infinitely many times does not maximize the expected utility you get at the end of the infinitely many decisions you’ve made. This is entirely a matter of switching a limit and an integral, and it is irrelevant to practical decision-making.
It isn’t a matter of switching a limit and an integral, or any means of infinity really. You could just consider the 1 number you’re currently on, your options are to continue or stop. To come out of the game with any money, one must at some point say “forget maximizing expected utility, I’m not risking losing what I’ve acquired”. By stopping, you lose expected utility compared to continuing exactly 1 more time. My point being that it is not always the case that “you must maximize expected utility”, for in some cases it may be wrong or impossible to do so.
All you’ve shown is that maximizing expected utility infinitely many times does not maximize the expected utility you get at the end of the infinitely many decisions you’ve made. This is entirely a matter of switching a limit and an integral, and it is irrelevant to practical decision-making.