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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. Gilboa,Itzhak, 2009. "Theory of Decision under Uncertainty," Cambridge Books, Cambridge University Press, number 9780521517324, September.
    2. Schmeidler, David, 1989. "Subjective Probability and Expected Utility without Additivity," Econometrica, Econometric Society, vol. 57(3), pages 571-587, May.
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