A strong law of large numbers for capacities
Fabio Maccheroni and
ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research
We consider a totally monotone capacity on a Polish space and a sequence of bounded p.i.i.d. random variables. We show that, on a full set, any cluster point of empirical averages lies between the lower and the upper Choquet integrals of the random variables, provided either the random variables or the capacity are continuous.
Keywords: Capacities; Choquet integral; Strong law of large numbers (search for similar items in EconPapers)
Pages: 14 pages
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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:28-2004
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