Integral representation of coherent upper conditional prevision with respect to its associated Hausdorff outer measure: a comparison among the Choquet integral, the pan-integral and the concave integral. Issue 6 (18th August 2018) - Doria, Serena
Abstract : In this paper, it is proven that the natural extensions of a submodular coherent upper conditional probability, defined a class S properly contained in the power set of Ω, coincide on the class of all bounded and upper S -measurable random variables. Moreover, it is proven that a coherent upper conditional prevision can be represented as the Choquet integral, the pan-integral and the concave integral with respect to its associated Hausdorff outer measureh s and, denoted by S the σ -field of allh s -measurable sets, all these integral representations agree with the Lebesgue integral on the class of all S -measurable random variables.