Conditional expectation for monotone measures, the discrete case

DOI10.1016/S0304-4068(02)00011-3MaRDI QIDQ1850146zbMATH OpenFDO

Authors Dieter Denneberg

Publication date 2 December 2002

Published in Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

belief functionsChoquet integralconditional expectationmonotone measureproduct measurenon-additive measuresChoquet capacities

Mathematics Subject Classification ID

Decision theory (91B06) Contents, measures, outer measures, capacities (28A12) Fuzzy measure theory (28E10)

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Cites work

• scientific article; zbMATH DE number 3751583 (Why is no real title available?)
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• scientific article; zbMATH DE number 42272 (Why is no real title available?)
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• scientific article; zbMATH DE number 3560492 (Why is no real title available?)
• scientific article; zbMATH DE number 1507334 (Why is no real title available?)
• scientific article; zbMATH DE number 3078997 (Why is no real title available?)
• Bayesian updating and belief functions
• Choquet rationality
• Conditioning (updating) non-additive measures
• Cores of cooperative games, superdifferentials of functions, and the Minkowski difference of sets
• Distributive lattices and products of capacities
• Fuzzy sets as a basis for a theory of possibility
• Interaction transform of set functions over a finite set
• Max-min (\(\sigma\)-)additive representation of monotone measures
• Maxmin expected utility with non-unique prior
• Non-additive measure and integral
• The product of capacities and belief functions
• Totally monotone core and products of monotone measures
• Towards a frequentist theory of upper and lower probability

Cited in

(17)

• Dynamic bid-ask pricing under Dempster-Shafer uncertainty
• Decision Making with Monotone Lower Probabilities of Infinite Order
• Conditioning (updating) non-additive measures
• Updating non-additive probabilities -- a geometric approach
• Dynamic capital allocation with distortion risk measures
• Updating Choquet beliefs
• Conditional expectation for submodular (supermodular) non-additive measures
• Agreeable bets with multiple priors
• On the \(f\)-divergence for discrete non-additive measures
• Products of non-additive measures: a Fubini-like theorem
• Convergence theorems for monotone measures
• A philosophical foundation of non-additive measure and probability
• Max-min (\(\sigma\)-)additive representation of monotone measures
• Generalized finite differences and Bayesian conditioning of Choquet capacities
• Atoms of monotone set-valued measures and integrals
• Coherent updating of non-additive measures
• Risk capital allocation and cooperative pricing of insurance liabilities.

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