arXiv · 0711.2375
The induced capacity and Choquet integral monotone convergece
Abstract
Given a probability measure over a state space, a partial collection (sub-$σ$-algebra) of events whose probabilities are known, induces a capacity over the collection of all possible events. The \emph{induced capacity} of an event $F$ is the probability of the maximal (with respect to inclusion) event contained in $F$ whose probability is known. The Choquet integral with respect to the induced capacity coincides with the integral with respect to a \emph{probability specified on a sub-algebra} (Lehrer \cite{Lehrer2}). We study Choquet integral monotone convergence and apply the results to the integral with respect to the induced capacity. The paper characterizes the properties of sub-$σ$-algebras and of induced capacities which yield integral monotone convergence.
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Roee Teper. 2007-11-15. The induced capacity and Choquet integral monotone convergece. https://arxiv.org/abs/0711.2375
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