Salvato in:
| Autore principale: | |
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| Soggetti: | |
| Accesso online: | https://arxiv.org/abs/2509.11033 |
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Sommario:
- Based on a study of a formula representing submodular set function as a supremum of measures dominated by the set function, we present a corresponding formula for a Choquet integration with respect to the set function, on a measurable space which has a chain of measurable set generating the sigma-algebra. As an application we reproduce a basic formula in mathematical finance on law invariant coherent risk measures. We also study a recursion relation of set functions for which the representation formula characterizes the fixed point.