Gert de Cooman
n-Monotone exact functionals
de Cooman, Gert; Troffaes, Matthias; Miranda, Enrique
Abstract
We study n-monotone functionals, which constitute a generalisation of n-monotone set functions. We investigate their relation to the concepts of exactness and natural extension, which generalise coherence and natural extension in the behavioural theory of imprecise probabilities. We improve upon a number of results in the literature, and prove among other things a representation result for exact n-monotone functionals in terms of Choquet integrals.
Citation
de Cooman, G., Troffaes, M., & Miranda, E. (2008). n-Monotone exact functionals. Journal of Mathematical Analysis and Applications, 347(1), 143-156. https://doi.org/10.1016/j.jmaa.2008.05.071
| Journal Article Type | Article |
|---|---|
| Publication Date | Nov 1, 2008 |
| Deposit Date | Jan 16, 2015 |
| Publicly Available Date | Jan 16, 2015 |
| Journal | Journal of Mathematical Analysis and Applications |
| Print ISSN | 0022-247X |
| Electronic ISSN | 1096-0813 |
| Publisher | Elsevier |
| Peer Reviewed | Peer Reviewed |
| Volume | 347 |
| Issue | 1 |
| Pages | 143-156 |
| DOI | https://doi.org/10.1016/j.jmaa.2008.05.071 |
| Keywords | n-Monotonicity, Coherence, Natural extension, Choquet integral, Comonotone additivity, Exact functional, Lower prevision, Risk measure |
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Copyright Statement
NOTICE: this is the author’s version of a work that was accepted for publication in Journal of mathematical analysis and applications. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of mathematical analysis and applications, 347/1, 2008, 10.1016/j.jmaa.2008.05.071
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