Ghirardato, Paolo (1997) On Independence for Non-Additive Measures, with a Fubini Theorem. Journal of Economic Theory, 73 (2). pp. 261-291. ISSN 0022-0531. doi:10.1006/jeth.1996.2241. https://resolver.caltech.edu/CaltechAUTHORS:20170829-153550947
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Abstract
An important technical question arising in economic and financial applications of decision models with non-additive beliefs is how to define stochastic independence. In fact the straightforward generalization of independence does not in general yield a unique product. I discuss the problem of independence, with specific focus on the validity of the Fubini theorem. The latter holds in general only for a special class of functions. It also requires a stronger notion of independent product. This is unique when the product must be a belief function. Finally I discuss an application to the issue of randomization in decision making.
Item Type: | Article | ||||||||||||
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Additional Information: | © 1997 Academic Press. Received 3 May 1995, Revised 21 June 1996. This paper is a modified version of Chapter 4 of my doctoral dissertation at UC Berkeley. I thank my adviser Bob Anderson, Massimo Marinacci, Klaus Nehring, Chris Shannon, and especially Marco Scarsini for helpful comments and discussion. Detailed comments from a referee and an associate editor greatly helped making this paper leaner. The usual disclaimer applies. Financial support from an Alfred P. Sloan Doctoral Dissertation Fellowship is gratefully acknowledged. | ||||||||||||
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Issue or Number: | 2 | ||||||||||||
DOI: | 10.1006/jeth.1996.2241 | ||||||||||||
Record Number: | CaltechAUTHORS:20170829-153550947 | ||||||||||||
Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20170829-153550947 | ||||||||||||
Official Citation: | Paolo Ghirardato, On Independence for Non-Additive Measures, with a Fubini Theorem, Journal of Economic Theory, Volume 73, Issue 2, April 1997, Pages 261-291, ISSN 0022-0531, https://doi.org/10.1006/jeth.1996.2241. (http://www.sciencedirect.com/science/article/pii/S0022053196922413) | ||||||||||||
Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||||||||
ID Code: | 80929 | ||||||||||||
Collection: | CaltechAUTHORS | ||||||||||||
Deposited By: | Tony Diaz | ||||||||||||
Deposited On: | 30 Aug 2017 16:17 | ||||||||||||
Last Modified: | 15 Nov 2021 19:39 |
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