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A simple proof for the convexity of the Choquet integral

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  • Alfonsi, Aurélien

Abstract

This note presents an elementary and direct proof for the convexity of the Choquet integral when the corresponding set function is submodular.

Suggested Citation

  • Alfonsi, Aurélien, 2015. "A simple proof for the convexity of the Choquet integral," Statistics & Probability Letters, Elsevier, vol. 104(C), pages 22-25.
    • Handle: RePEc:eee:stapro:v:104:y:2015:i:c:p:22-25
    DOI: 10.1016/j.spl.2015.04.022
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    References listed on IDEAS

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    1. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
    2. Gilboa,Itzhak, 2009. "Theory of Decision under Uncertainty," Cambridge Books, Cambridge University Press, number 9780521741231, January.
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