Related papers: Choquet integration with submodular function on me…
We study boundaries for unital operator algebras. These are sets of irreducible $*$-representations that completely capture the spatial norm attainment for a given subalgebra. Classically, the Choquet boundary is the minimal boundary of a…
We consider integrals in the sense of Choquet with respect to the $\delta$-dimensional Hausdorff content for continuously differentiable functions defined on open, connected sets in the Euclidean $n$-space, $n\geq 2$, $0<\delta\le n$. In…
In multi-criteria decision aiding, the Choquet integral has been used as an aggregation operator to deal with interacting criteria, having as a requirement a prior assumption of common scale for all the criteria. This restriction on the…
Law-invariant functionals are central to risk management and assign identical values to random prospects sharing the same distribution under an atomless reference probability measure. This measure is typically assumed fixed. Here, we adopt…
We focus on measurability and integrability for set valued functions in non-necessarily separable Fr\'echet spaces. We prove some properties concerning the equivalence between different classes of measurable multifunctions. We also provide…
We investigate the problem of finding upper and lower bounds for a Choquet risk measure of a nonlinear function of two risk factors, when the marginal distributions of the risk factors are ambiguous and represented by nonadditive measures…
This paper focuses on vector-valued composite functionals, which may be nonlinear in probability. Our primary goal is to establish central limit theorems for these functionals when mixed estimators are employed. Our study is relevant to the…
To a function with values in the power set of a pre-ordered, separated locally convex space a family of scalarizations is given which completely characterizes the original function. A concept of a Legendre-Fenchel conjugate for set-valued…
In decision analysis and especially in multiple criteria decision analysis, several non additive integrals have been introduced in the last years. Among them, we remember the Choquet integral, the Shilkret integral and the Sugeno integral.…
In incomplete financial markets, there exists a set of equivalent martingale measures (or risk-neutral probabilities) in an arbitrage-free pricing of the contingent claims. Minimax expectation is closely related to the $g$-expectation which…
In many naturally occurring optimization problems one needs to ensure that the definition of the optimization problem lends itself to solutions that are tractable to compute. In cases where exact solutions cannot be computed tractably, it…
In the present paper, some aspects of the finite-dimensional theory of set-inclusive generalized equations are studied. Set-inclusive generalized equations are problems arising in several contexts of optimization and variational analysis,…
A variation of Choquet random sup-measures is introduced. These random sup-measures are shown to arise as the scaling limits of empirical random sup-measures of a general aggregated model. Because of the aggregations, the finite-dimensional…
We study n-monotone functionals, which constitute a generalisation of n-monotone set functions. We investigate their relation to the concepts of exactness and natural extension, which generalise the notions of coherence and natural…
This article addresses structure-preserving smooth approximation of semiconcave functions. semiconcave functions are of particular interest because they naturally arise in a variety of variational problems, including {optimal feedback…
We define the supermodular rank of a function on a lattice. This is the smallest number of terms needed to decompose it into a sum of supermodular functions. The supermodular summands are defined with respect to different partial orders. We…
In this paper we show that if $(X,\mathcal{A})$ is a measurable space and if $Y$ is a topological model of a Lawvere theory $\mathcal{T}$ equipped with $\mathcal{B}$ the Borel $\sigma$-algebra on $Y$, then the set of…
We define an integral of real-valued functions with respect to a measure that takes its values in the extended positive cone of a partially ordered vector space $E$. The monotone convergence theorem, Fatou's lemma, and the dominated…
We axiomatize the Choquet rank-dependent utility model within a Savage framework with an exogenous source of pure risk. This model is a decision model under ambiguity, serving as a conceptual generalization of the Choquet expected utility…
The ability to quantify distinctness of a cluster structure is fundamental for certain simulation studies, in particular for those comparing performance of different classification algorithms. The intrinsic integral measure based on the…