A note on Jensen type inequality for Choquet integrals

The purpose of this paper is to prove a Jensen type inequality for Choquet integrals with respect to a non-additive measure which was introduced by Choquet [1] and Sugeno [20]; Φ((C) ∫ fdμ) ≤ (C) ∫ Φ(f)dμ, where f is Choquet integrable, Φ : [0,∞) −→ [0,∞) is convex, Φ(α) ≤ α for all α ∈ [0,∞) and μf (α) ≤ μΦ(f)(α) for all α ∈ [0,∞). Furthermore, we give some examples assuring both satisfaction and dissatisfaction of Jensen type inequality for the Choquet integral.