On Independence for Non-Additive Measures, with a Fubini Theorem
نویسنده
چکیده
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. Journal of Economic Literature Classification Numbers: C44, D81, G10. 1997 Academic Press
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