Sure wins, separating probabilities and the representation of linear functionals
- Cassese, Gianluca Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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2009
Published in:
- Journal of mathematical analysis and applications. - Elsevier. - 2009, vol. 354, no. 2, p. 558-563
Daniell theorem
finitely additive probability
finitely additive supermartingales
integral representation of linear functionals
Riesz decomposition
English
We discuss conditions under which a convex cone K ⊂ RΩ admits a finitely additive probability m such that supk∈K m(k) ≤ 0. Based on these, we characterize those linear functionals that are representable as finitely additive expectations. A version of Riesz decomposition based on this property is obtained as well as a characterisation of positive functionals on the space of integrable functions.
- Language
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- English
- Classification
- Economics
- License
- License undefined
- Identifiers
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- RERO DOC 12765
- DOI 10.1016/j.jmaa.2009.01.013
- ARK ark:/12658/srd1318167
- Persistent URL
- https://n2t.net/ark:/12658/srd1318167
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