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On the disintegration property of coherent upper conditional prevision defined by the Choquet integral with respect to its associated Hausdorff outer measure

Serena Doria ()
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Serena Doria: University G.d’Annunzio

Annals of Operations Research, 2017, vol. 256, issue 2, No 5, 253-269

Abstract: Abstract Let $$ (\varOmega , d )$$ ( Ω , d ) be a metric space where $$\varOmega $$ Ω is a set with positive and finite Hausdorff outer measure in its Hausdorff dimension and let $$\mathbf B $$ B be a partition of $$\varOmega $$ Ω . The coherent upper conditional prevision defined as the Choquet integral with respect to its associated Hausdorff outer measure is proven to satisfy the disintegration property on every non-null partition and the coherent unconditional prevision is proven to be fully conglomerable on every partition.

Keywords: Coherent upper conditional previsions; Hausdorff outer measures; Choquet integral; Disintegration property; Conglomerability principle; Law of iterated expectations; 60A05; 28A12 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s10479-016-2270-9

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Handle: RePEc:spr:annopr:v:256:y:2017:i:2:d:10.1007_s10479-016-2270-9