Infinite Previsions and Finitely Additive Expectations
Statistics Theory
2013-09-02 v1 Statistics Theory
Abstract
We give an extension of de Finetti's concept of coherence to unbounded (but real-valued) random variables that allows for gambling in the presence of infinite previsions. We present a finitely additive extension of the Daniell integral to unbounded random variables that we believe has advantages over Lebesgue-style integrals in the finitely additive setting. We also give a general version of the Fundamental Theorem of Prevision to deal with conditional previsions and unbounded random variables.
Keywords
Cite
@article{arxiv.1308.6761,
title = {Infinite Previsions and Finitely Additive Expectations},
author = {Mark J. Schervish and Teddy Seidenfeld and Joseph B. Kadane},
journal= {arXiv preprint arXiv:1308.6761},
year = {2013}
}
Comments
21 pages