文献类型：期刊文献

英文题名：Sub-concave and sub-convex capacities

作者：Wang, Hongxia[1,2]

第一作者：Wang, Hongxia;王洪霞

通讯作者：Wang, HX[1]

机构：[1]Henan Univ Econ & Law, Coll Stat, Zhengzhou, Henan, Peoples R China;[2]Anal & Res Ctr Educ & Stat Data Henan Prov, Zhengzhou, Henan, Peoples R China

第一机构：河南财经政法大学统计与大数据学院

通讯机构：[1]corresponding author), Henan Univ Econ & Law, Coll Stat, Zhengzhou, Henan, Peoples R China.|[1048415]河南财经政法大学统计与大数据学院;[10484]河南财经政法大学;

年份：2019

卷号：364

起止页码：64-75

外文期刊名：FUZZY SETS AND SYSTEMS

收录：;EI(收录号：20182305284825);Scopus(收录号：2-s2.0-85047920655);WOS:【SCI-EXPANDED(收录号:WOS:000461775200003)】；

基金：This study was supported by the Scientific Research Foundation for Doctors of Henan University of Economics and Law (855006), and by the University Key Research Project of Henan Province, China (18A110011).

语种：英文

外文关键词：Choquet integral; Sub-concave capacity; Sub-convex capacity; Upper and lower probability

摘要：In this study, we propose the concepts of sub-concave and sub-convex capacities. First, we investigate some properties of sub-concave and sub-convex capacities. Second, we discuss the Choquet integrals with respect to sub-concave and sub-convex capacities. We then show that the upper and lower probabilities comprising the supremum and infimum over the set of risk neutral martingale measures in the asymmetrical case are sub-concave and sub-convex capacities, respectively. (C) 2018 Elsevier B.V. All rights reserved.