Choquet random sup-measures with aggregations

Dynamically Consistent Choquet Random Walk and Real Investments Dynamically Consistent Choquet Random Walk and Real Investments

In the real investments literature, the investigated cash flow is assumed to follow some known stochastic process (e.g. Brownian motion) and the criterion to decide between investments is the discounted utility of their cash flows. However, for most new investments the investor may be ambiguous about the representation of uncertainty. In order to take such ambiguity into account, we refer to a ...

Sharp Estimation in Sup Norm with Random Design

Abstract. In this paper, we study the estimation of a function based on noisy inhomogeneous data (the amount of data can vary on the estimation domain). We consider the model of regression with random design, where the design density is unknown. We construct an asymptotically sharp estimator which converges, for sup norm error loss, with a spatially dependent normalisation which is sensitive to...

Adapted Integral Representations by Measures on Choquet Boundaries

A Representation for Characteristic Functionals of Stable Random Measures with Values in Sazonov Spaces

On the Choquet integral for Riesz space valued measures

The Choquet integral is defined for a real function with respect to a fuzzy measure taking values in a complete Riesz space. As applications there are presented: constructions of belief and plausibility measures, the formulation of an extension principle, and the Möbius transform for vector values measures.