An integral for nonmeasurable correspondences and the Shapley-interval (Q1108395): Difference between revisions

There are no general results for the existence of the usual integral of a nonmeasurable correspondence which may arise, e.g., in a non-cooperative game with a continuum of traders. The author shows how, nevertheless, an ``extended'' integral via ``premeasurable'' selections can be defined [for the latter see, e.g., \textit{J. Lehn}, Manuscr. Math. 20, 141-152 (1977; Zbl 0349.28003)]. Let (\(\Omega\),\({\mathcal A},\mu)\) be a finite measure space and let \({\mathcal B}\) denote the family of Borel-sets on R. For any function f: \(\Omega\) \(\to {\mathbb{R}}\) let \({\mathcal F}(\mu | {\mathcal A};f)\) denote the set of measures on the \(\sigma\)-algebra generated by \({\mathcal A}\cup f^{- 1}({\mathcal B})\), extending \(\mu\). If \({\mathcal F}(\mu | {\mathcal A};f)\neq \emptyset\), f is called premeasurable. If F: \(\Omega\) \(\to {\mathcal P}_ 0({\mathbb{R}})\) (all non-void subsets of R) is any (!) correspondence, the author defines the extended integral of F w.r.t. \(\mu\) by \[ \int Fd[\mu]=\{\int fd\mu_ 1:\quad f\quad \mu_ 1-integrable\quad selection\quad of\quad F\quad with\quad \mu_ 1\in {\mathcal F}(\mu | {\mathcal A};f)\}. \] In the rest of the paper the author derives several properties of the extended integral.