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On Independence for Non-Additive Measures, with a Fubini Theorem

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.

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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.

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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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Alfred P. Sloan FoundationUNSPECIFIED
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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, (
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:80929
Deposited By: Tony Diaz
Deposited On:30 Aug 2017 16:17
Last Modified:15 Nov 2021 19:39

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