Strong previsions of random elements

Patrizia Berti (), Eugenio Regazzini () and Pietro Rigo ()
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Patrizia Berti: Università di Modena
Eugenio Regazzini: Università di Pavia
Pietro Rigo: Università di Pavia

Statistical Methods & Applications, 2001, vol. 10, issue 1, No 3, 28 pages

Abstract: Abstract LetC be a class of arbitrary real random elements andP an extended real valued function onC. Two definitions of coherence forP are compared. Both definitions reduce to the classical de Finetti's one whenC includes bounded random elements only. One of the two definitions (called strong coherence) is investigated, and some criteria for checking it are provided. Moreover, conditions are given for the integral representation of a coherentP, possibly with respect to a δ-additive probability. Finally, the two definitions and the integral representation theorems are extended to the case whereC is a class of random elements taking values in a given Banach space.

Keywords: Banach space; coherence; finite additivity; integral representation; strong coherence; Primary 60A05; Secondary 28C05 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (10)

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DOI: 10.1007/BF02511636

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