Sub-concave and sub-convex capacities

DOI10.1016/J.FSS.2018.05.018zbMath1423.28006OpenAlexW2805356302WikidataQ129739243 ScholiaQ129739243MaRDI QIDQ2328917

Hong-Xia Wang

Publication date: 16 October 2019

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2018.05.018

zbMATH Keywords

Choquet integralupper and lower probabilitysub-concave capacitysub-convex capacity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Contents, measures, outer measures, capacities (28A12)

Cites Work

• Some properties and convergence theorems of set-valued Choquet integrals
• Adapted solution of a backward stochastic differential equation
• Non-additive measure and integral
• Choquet expectation and Peng's \(g\)-expectation
• Bayes' theorem for Choquet capacities
• Maximal (minimal) conditional expectation and European option pricing with ambiguous return rate and volatility
• Inequalities for upper and lower probabilities
• A comonotonic theorem for BSDEs
• Minimax pricing and Choquet pricing
• Minimax tests and the Neyman-Pearson lemma for capacities
• Theory of capacities
• Conditional Choquet Expectation
• Backward Stochastic Differential Equations in Finance
• Testing and Characterizing Properties of Nonadditive Measures Through Violations of the Sure-Thing Principle
• AMBIGUOUS RISK AVERSION UNDER CAPACITY

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