A simple proof for the convexity of the Choquet integral

DOI10.1016/j.spl.2015.04.022zbMath1320.28024arXiv1501.01453OpenAlexW2952529896MaRDI QIDQ491689

Aurélien Alfonsi

Publication date: 19 August 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.01453

zbMATH Keywords

Choquet integralLovász extensionsubmodular set functions

Mathematics Subject Classification ID

Fuzzy measure theory (28E10)

Related Items (3)

Choquet type \(L^{1}\)-spaces of a vector capacity ⋮ Probability inequalities for decomposition integrals ⋮ Submodular functions and rooted trees

Cites Work

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• A Mazur-Orlicz type theorem for submodular set functions
• Non-additive measure and integral
• Theory of capacities
• Subjective Probability and Expected Utility without Additivity
• Simultaneously least favorable experiments
• Stochastic finance. An introduction in discrete time

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