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Integral representation of continuous comonotonically additive functionals
Authors:Lin Zhou
Affiliation:Department of Economics, Duke University, Box 90097, Durham, North Carolina 27708-0097
Abstract:In this paper, I first prove an integral representation theorem: Every quasi-integral on a Stone lattice can be represented by a unique upper-continuous capacity. I then apply this representation theorem to study the topological structure of the space of all upper-continuous capacities on a compact space, and to prove the existence of an upper-continuous capacity on the product space of infinitely many compact Hausdorff spaces with a collection of consistent finite marginals.

Keywords:Upper-continuous capacities   regular capacities   Choquet integrals   Stone lattices   comonotonically additive functionals   monotonic functionals   continuous functionals   the weak topology   Kolmogorov's theorem   consistent marginals
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