The representations of two types of functionals on L~∞(Ω,F) and L~∞(Ω,F,P)

This article gives the representations of two types of real functionals on Z∞(Ω,F) or L∞(Ω,F,P) in terms of Choquet integrals. These functionals are comonotonically subadditive and comonotonically convex, respectively.     

Multidimensional Hermite-Hadamard inequalities and the convex order

The problem of establishing inequalities of the Hermite-Hadamard type for convex functions on n-dimensional convex bodies translates into the problem of finding appropriate majorants of the involved random vector for the usual convex order. We present two results of partial generality which unify and extend the most part of the multidimensional Hermite-Hadamard inequalities existing in the literature, at the same time that lead to new specific results. The first one fairly applies to the most familiar kinds of polytopes. The second one applies to symmetric random vectors taking values in a closed ball for a given (but arbitrary) norm on Rn. Related questions, such as estimates of approximation and extensions to signed measures, also are briefly discussed.     

Minimum variance capacity identification

In the framework of multi-criteria decision making whose aggregation process is based on the Choquet integral, we present a maximum entropy like method enabling to determine, if it exists, the “least specific” capacity compatible with the initial preferences of the decision maker. The proposed approach consists in solving a strictly convex quadratic program whose objective function is equivalently either the opposite of a generalized entropy measure or the variance of the capacity. The application of the proposed approach is illustrated on two examples.     

广义模糊数值Choquet积分的伪自连续及其遗传性

在广义模糊测度空间上,针对已经给出的广义模糊数值Choquet积分,将这种积分整体看成可测空间上取值于模糊数的集函数,研究当模糊测度满足伪自连续、伪一致自连续性时,这种模糊数值Choquet积分所保持的一些遗传性．     

n-Monotone exact functionals

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 coherence and natural extension in the behavioural theory of imprecise probabilities. We improve upon a number of results in the literature, and prove among other things a representation result for exact n-monotone functionals in terms of Choquet integrals.     

A localic theory of lower and upper integrals

An account of lower and upper integration is given. It is constructive in the sense of geometric logic. If the integrand takes its values in the non‐negative lower reals, then its lower integral with respect to a valuation is a lower real. If the integrand takes its values in the non‐negative upper reals, then its upper integral with respect to a covaluation and with domain of integration bounded by a compact subspace is an upper real. Spaces of valuations and of covaluations are defined. Riemann and Choquet integrals can be calculated in terms of these lower and upper integrals. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)     

Baire's category and the bang-bang property for evolution differential inclusions of contractive type

The Baire category method is employed in order to establish that the bang-bang property holds for a class of evolution differential inclusions of contractive type in reflexive and separable real Banach spaces.     

The symmetric Choquet integral with respect to Riesz-space-valued capacities

A definition of “Šipoš integral” is given, similarly to [3], [5], [10], for real-valued functions and with respect to Dedekind complete Riesz-space-valued “capacities”. A comparison of Choquet and Šipoš-type integrals is given, and some fundamental properties and some convergence theorems for the Šipoš integral are proved. This paper was supported by the cooperation project between Slovak Academy of Sciences (S.A.V.) and Italian National Council of Researches (C.N.R.)     

带有随机生成元的倒向随机微分方程的共单调定理

该文利用Malliavin微分的方法研究带有随机生成元的倒向随机微分方程 (简记BSDE),给出了关于比较某些BSDE的解(y,z)中z的方法, 在此基础上继续研究(y,z)的某些重要性质, 指明了当BSDE的生成元是随机的情况下,Zengjing Chen等人文章中得到的共单调定理是不成立的, 然后寻找带有随机生成元的BSDE的共单调定理成立的特殊情况, 最后研究了一类g -期望的可加性以及Choquet积分表示定理.     

Modeling attitudes towards uncertainty and risk through the use of choquet integral

The aim of this paper is to present in a unified framework a survey of some results related to Choquet Expected Utility (CEU) models, a promising class of models introduced separately by Quiggin [35], Yaari [48] and Schmeidler [40, 41] which allow to separate attitudes towards uncertainty (or risk) from attitudes towards wealth, while respecting the first order stochastic dominance axiom.