A characterization theorem for Aumann integrals

DOI10.1007/S11228-014-0309-0MaRDI QIDQ2346266zbMATH OpenOpenAlexFDO

Authors Çağın Ararat, Birgit Rudloff

Publication date 1 June 2015

Published in Set-Valued and Variational Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1404.7440

zbMATH Keywords

Aumann integralcharacterization theoremclosed convex upper setscomplete lattice approachDaniell-Stone theorem

Mathematics Subject Classification ID

Set-valued functions (26E25) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Banach lattices (46B42) Set-valued maps in general topology (54C60)

Abstract: A Daniell-Stone type characterization theorem for Aumann integrals of set-valued measurable functions will be proven. It is assumed that the values of these functions are closed convex upper sets, a structure that has been used in some recent developments in set-valued variational analysis and set optimization. It is shown that the Aumann integral of such a function is also a closed convex upper set. The main theorem characterizes the conditions under which a functional that maps from a certain collection of measurable set-valued functions into the set of all closed convex upper sets can be written as the Aumann integral with respect to some $sigma$-finite measure. These conditions include the analog of the conlinearity and monotone convergence properties of the classical Daniell-Stone theorem for the Lebesgue integral, and three geometric properties that are peculiar to the set-valued case as they are redundant in the one-dimensional setting.

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Cited in

(9)

• A characterization theorem for the existence of a Hellinger-type integral
• Nonlinear expectations of random sets
• Set-valued means
• A Gauss-Ostrogradskii theorem for integral transforms over the euler characteristic
• Measures of systemic risk
• Set-valued shortfall and divergence risk measures
• On the comparison of Aumann and Bochner integrals
• Abstract integration of set-valued functions
• A representation theorem for Aumann integrals

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