A simple proof for the convexity of the Choquet integral-Reference-Cited by-同舟云学术

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A simple proof for the convexity of the Choquet integral

Published:2015-09 Issue: Volume:104 Page:22-25
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Alfonsi Aurélien

Funder

Chaire Risques Financiers

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference9 articles.

1. Bach, Francis, 2010. Convex analysis and optimization with submodular functions: a tutorial. arXiv:abs/1010.4207.

2. Simultaneously least favorable experiments. I. Upper standard functionals and sufficiency;Buja;Z. Wahrscheinlichkeitstheor. Verwandte Geb.,1984

3. Theory of capacities;Choquet;Ann. Inst. Fourier (Grenoble),1955

4. Non-additive Measure and Integral;Denneberg,1994

5. Stochastic Finance;Föllmer,2011

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1. Sugeno capacities for the extension of exponential and hyperbolic discounting to fuzzy integrals;PUNJAB UNIV J MATH;2024

2. Submodular Functions and Rooted Trees;Theory of Computing Systems;2022-07-29

3. Choquet type L 1 -spaces of a vector capacity;Fuzzy Sets and Systems;2017-11

4. Probability inequalities for decomposition integrals;Journal of Computational and Applied Mathematics;2017-05

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