\(n\)-monotone exact functionals (Q936579)

Let \(\mathcal{L}\) be the set of all bounded real-valued functions on a non-empty set \(\Omega\). A functional or a lower prevision refers to a real-valued map defined on some subset \(\mathcal{L}_{0}\) of \(\mathcal{L}\). A functional \(\Gamma:\mathcal{L}_{0}\to\mathbb{R}\) is called coherent if it can be extended to a functional \(\Gamma_{e}\) on \(\mathcal{L}\) which is superadditive, positively homogeneous on \(\mathcal{L}\) and satisfies the inequality \(\Gamma_{e}(f)\geq\inf f\) for all \(f\in\mathcal{L.}\) A functional \(\Gamma:\mathcal{L}_{0}\to\mathbb{R}\) is called exact if it can be extended to a functional \(\Gamma_{e}\) on \(\mathcal{L}\) which is superadditive, positively homogeneous and monotone on \(\mathcal{L}\) and satisfies the equation \(\Gamma_{e}(f+\mu)=\Gamma_{e}(f)+\Gamma_{e}(\mu)\) for all \(f\in\mathcal{L}\) and \(\mu \in\mathbb{R}.\) A functional \(\Gamma:\mathcal{L}_{0}\to\mathbb{R}\) is linear and exact if the extension \(\Gamma_{e}\) mentioned above is in addition linear on \(\mathcal{L}\). The first main result clarifies the relation between exactness and coherence: Let \(\Gamma:\mathcal{L}_{0}\to\mathbb{R}\) be a functional. Then \(\Gamma\) is exact if and only if there exists a coherent functional \(P:\mathcal{L}_{0}\to\mathbb{R}\) and a non-negative number \(\lambda\) such that \(\Gamma=\lambda P\). Assume that \(\mathcal{L}_{0}\) is a lattice, so \(\mathcal{L}_{0}\) is closed under taking the maximum and minimum of finitely many functions in \(\mathcal{L}\). The authors consider \(n\)-monotone functionals \(\Gamma:\mathcal{L} _{0}\to\mathbb{R}\) in the spirit of Choquet's theory of capacities. The authors prove several results about \(n\)-monotone functionals and set functions. As an illustrative example, we mention the fact that a linear and exact functional \(\Gamma:\mathcal{L}_{0}\to\mathbb{R}\) on a lattice \(\mathcal{L}_{0}\) is completely monotone and completely alternating. The last section is devoted to representation results for exact \(n\)-monotone functionals in terms of Choquet integrals.