Minimal subharmonic functions and related integral representations

A Choquet-type integral representation result for non-negative subharmonic functions of a one-dimensional regular diusion is established. The representation allows in particular an integral equation for strictly positive subharmonic functions that is driven by the Revuz measure of the associated continuous additive functional. Moreover, via the aforementioned integral equation, one can construct an It^o-Watanabe pair (g;A) that consist of a subharmonic function g and a continuous additive functional A is with Revuz measure A such that g(X) exp(A) is a local martingale. Changes of measures associated with It^o- Watanabe pairs are studied and shown to modify the long term behaviour of the original diusion process to exhibit transience

Additive Representation of Non-Additive Measures and the Choquet Integral

This paper studies some new properties of set functions (and, in particular, "non-additive probabilities" or "capacities") and the Choquet integral with respect to such functions, in the case of a finite domain. We use an isomorphism between non-additive measures on the original space (of states of the world) and additive ones on a large space (of events), and embed the space of real-valued functions on the former in the corresponding space on the latter. This embedding gives rise to the following results: the Choquet integral with respect to any totally monotone capacity is an average over minima of the inegrand; the Choquet integral with respect to any capacity is the differences between minima of regular integrals over sets of additive measures; under fairly general conditions one may define a "Radon-Nikodym derivative" of one capacity with respect to another; the "optimistic" pseudo-Bayesian update of a non-additive measure follows from the Bayesian update of the corresponding additive measure on the large space. We also discuss the interpretation o these results and the new light they shed on the theory of expected utility maximization with respect to non-additive measures.

States on pseudo effect algebras and integrals

We show that every state on an interval pseudo effect algebra $E$ satisfying some kind of the Riesz Decomposition Properties (RDP) is an integral through a regular Borel probability measure defined on the Borel $\sigma$-algebra of a Choquet simplex $K$. In particular, if $E$ satisfies the strongest type of (RDP), the representing Borel probability measure can be uniquely chosen to have its support in the set of the extreme points of $K.

The Lattice and Simplex Structure of States on Pseudo Effect Algebras

We study states, measures, and signed measures on pseudo effect algebras with some kind of the Riesz Decomposition Property, (RDP). We show that the set of all Jordan signed measures is always an Abelian Dedekind complete $\ell$-group. Therefore, the state space of the pseudo effect algebra with (RDP) is either empty or a nonempty Choquet simplex or even a Bauer simplex. This will allow represent states on pseudo effect algebras by standard integrals

Representation of maxitive measures: an overview

Idempotent integration is an analogue of Lebesgue integration where $\sigma$-maxitive measures replace $\sigma$-additive measures. In addition to reviewing and unifying several Radon--Nikodym like theorems proven in the literature for the idempotent integral, we also prove new results of the same kind.Comment: 40 page

On non-monotonic Choquet integrals as aggregation functions

This paper deals with non-monotonic Choquet integral, a generalization of the regular Choquet integral. The discrete non-monotonic Choquet integral is considered under the viewpoint of aggregation. In particular we give an axiomatic characterization of the class of non-monotonic Choquet integrals.We show how the Shapley index, in contrast with the monotonic case, can assume positive values if the criterion is in average a benefit, depending on its effect in all the possible coalition coalitions, and negative values in the opposite case of a cost criterion.

Max-stable random sup-measures with comonotonic tail dependence

Several objects in the Extremes literature are special instances of max-stable random sup-measures. This perspective opens connections to the theory of random sets and the theory of risk measures and makes it possible to extend corresponding notions and results from the literature with streamlined proofs. In particular, it clarifies the role of Choquet random sup-measures and their stochastic dominance property. Key tools are the LePage representation of a max-stable random sup-measure and the dual representation of its tail dependence functional. Properties such as complete randomness, continuity, separability, coupling, continuous choice, invariance and transformations are also analysed.Comment: 28 pages, 1 figur

Envelopes of conditional probabilities extending a strategy and a prior probability

Any strategy and prior probability together are a coherent conditional probability that can be extended, generally not in a unique way, to a full conditional probability. The corresponding class of extensions is studied and a closed form expression for its envelopes is provided. Then a topological characterization of the subclasses of extensions satisfying the further properties of full disintegrability and full strong conglomerability is given and their envelopes are studied.Comment: 2

The idempotent Radon--Nikodym theorem has a converse statement

Idempotent integration is an analogue of the Lebesgue integration where $\sigma$-additive measures are replaced by $\sigma$-maxitive measures. It has proved useful in many areas of mathematics such as fuzzy set theory, optimization, idempotent analysis, large deviation theory, or extreme value theory. Existence of Radon--Nikodym derivatives, which turns out to be crucial in all of these applications, was proved by Sugeno and Murofushi. Here we show a converse statement to this idempotent version of the Radon--Nikodym theorem, i.e. we characterize the $\sigma$-maxitive measures that have the Radon--Nikodym property.Comment: 13 page