THE SET OF PRIORS IN THE REPRESENTATION OF CHOQUET EXPECTATION WHEN A CAPACITY IS SUBMODULAR

DOI10.7468/JKSMEB.2015.22.4.333MaRDI QIDQ5744580zbMATH OpenOpenAlexFDO

Authors Ju Hong Kim

Publication date 18 February 2016

Published in The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7468/jksmeb.2015.22.4.333

zbMATH Keywords

coherent risk measures\(g\)-expectationmartingale measuresChoquet expectationsubmodular capacityset of priors

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Recommendations

• Choquet representability of submodular functions
• Conditional submodular Choquet expected values and conditional coherent risk measures
• Conditional expectation for submodular (supermodular) non-additive measures
• A representation of preferences by the Choquet integral with respect to a 2-additive capacity
• Bayes' theorem for Choquet capacities
• Prior information in optimal allocation for multinomial population
• Generalized finite differences and Bayesian conditioning of Choquet capacities
• Representation theorem for AVaR under a submodular capacity

Cited in

(3)

• Conditional submodular Choquet expected values and conditional coherent risk measures
• Conditional Choquet expectation
• The structure of priors' set of equivalent measures

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