Sure wins, separating probabilities and the representation of linear functionals

DOI10.1016/J.JMAA.2009.01.013MaRDI QIDQ1018312zbMATH OpenOpenAlexFDO

Authors Gianluca Cassese

Publication date 19 May 2009

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0709.3411

zbMATH Keywords

Daniell theoremfinitely additive probabilityfinitely additive supermartingalesintegral representation of linear functionalsRiesz decomposition

Mathematics Subject Classification ID

Integration theory via linear functionals (Radon measures, Daniell integrals, etc.), representing set functions and measures (28C05) Measures and integration on abstract linear spaces (46G12) Probabilistic games; gambling (91A60)

Abstract: We discuss conditions under which a convex cone $Ksubset{R}^{Omega}$ admits a probability $m$ such that $su{p}_{kinK}m(k)leq0$. Based on these, we also characterize linear functionals that admit the representation as finitely additive expectations. A version of Riesz decomposition based on this property is obtained as well as a characterisation of positive functionals on the space of integrable functions

Review text

For some class \({\mathcal A}\) of sets let \(P:{\mathcal A}\to R\) be a set function such that, for \(E\in{\mathcal A}\), \(P(E)\) is the price for betting 1 dollar on the occurrence of \(E\). In a paper of \textit{B. de Finetti} [Ann. Inst. Henri Poincaré 7, 1--68 (1937; Zbl 0017.07602)] \(P\) is called coherent if it admits no sure wins. De Finetti showed that if \({\mathcal A}\) is a finite algebra, then \(P\): \({\mathcal A}\to R\) is coherent iff \(P\) is a probability measure. This was extended and generalized e.g. by \textit{V. S. Borkar, V. R. Konda} and \textit{S. K. Mitter} [Stat. Probab. Lett. 66, No. 4, 417--421 (2004; Zbl 1081.28004)]. In the present paper, the author examines the absence of sure wins for a convex cone \({\mathcal K}\) of real-valued functions on some arbitrary set \(\Omega\), obtaining conditions for the existence of a finitely additive probability measure \(m\) such that \(\sup_{k\in{\mathcal K}}m(k)\leq 0\). If \({\mathcal K}\) is the kernel of some linear functional, this leads to the characterization of those functionals that admit the representation as finitely additive expectations. (This topic is also addressed in \textit{P. Berti} and \textit{P. Rigo} [Proc. Amer. Math. Soc. 128, No. 11, 3251--3258 (2000; Zbl 0952.28009)].)

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Cites work

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Cited in

(10)

• Cutting levels of the winning probability relation of random variables pairwisely coupled by a same Frank copula
• Finitely additive mixtures of probability measures
• Convergence in measure under finite additivity
• scientific article; zbMATH DE number 4021890 (Why is no real title available?)
• scientific article; zbMATH DE number 6927781 (Why is no real title available?)
• The representation of conglomerative functionals
• The theorem of Halmos and Savage under finite additivity
• A minimax lemma and its applications
• Asset pricing in an imperfect world
• Supermartingale decomposition with a general index set

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