Sure wins, separating probabilities and the representation of linear functionals
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Cassese, Gianluca
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
Published in:
- Journal of mathematical analysis and applications. - Elsevier. - 2009, vol. 354, no. 2, p. 558-563
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.
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Economics
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License undefined
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Persistent URL
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https://n2t.net/ark:/12658/srd1318167
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