A simple proof for the convexity of the Choquet integral

2015/01/07 by Aurélien Alfonsi, Alfonsi, Aurélien
Mathematics · #FOS: Mathematics #Functional Analysis (math.FA) #Probability (math.PR) #math.FA #math.PR

paper · pdf · doi:10.48550/arxiv.1501.01453

arxiv created 2015/01/07 · arxiv updated 2015/01/08

Abstract

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

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