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11 janvier 2024
- handle: 10670/1.gasgs0
- hal: hal-01499621
- doi: 10.1007/s11238-012-9297-4
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Capacities Choquet D81 Law of iterated expectations UpdatingSujets proches
Legislative acts Legislative enactments Acts, Legislative Enactments, Legislative Laws (Statutes)Citer ce document
André Lapied et al., « A note on “Re-examining the law of iterated expectations for Choquet decision makers” », Archive Ouverte d'INRAE, ID : 10.1007/s11238-012-9297-4
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This note completes the main result of Zimper (Theory and decision, doi: 10.1007/s11238-010-9221-8 , 2010 ), by showing that additional conditions are needed in order the law of iterated expectations to hold true for Choquet decision makers. Due to the comonotonic additivity of Choquet expectations, the equation E[f, ν(dω)]=E[E[f(ω i, j ), ν(A i, j \textbarA i )], ν(A i )], is valid only when the act f is comonotonic with its dynamic form, that we name “conditional certainty equivalent act”. Copyright Springer Science+Business Media New York 2013