R-freie Integrationstheorie. I.
Seven Proofs for the Subadditivity of Expected Shortfall
Subadditivity is the key property which distinguishes the popular risk measures Value-at-Risk and Expected Shortfall (ES). In this paper we offer seven proofs of the subadditivity of ES, some found in the literature and some not. One of the main objectives of this paper is to provide a general guideline for instructors to teach the subadditivity of ES in a course. We discuss the merits and suggest appropriate contexts for each proof.With different proofs, different important properties of ES are...
Simple topological measures and a lifting problem
We state a certain lifting conjecture and prove it in the case of a torus. From this result we are able to construct a connected dense subset of the space of intrinsic simple topological measures on the torus, consisting of push forwards of compactly supported generalized point-measures on the universal covering space. Combining this result with an observation of Johansen and Rustad, we conclude that the space of simple topological measures on a torus is connected.
Sull'additività dell'integrale
Sur la distribution des fonctions dérivées.
Sur la mesurabilité d'une fonction numérique par rapport à une famille d'ensembles
The Bochner and the monotone integrals with respect to a nuclear-valued finitely additive measure
The Denjoy extension of the Riemann and McShane integrals
In this paper we study the Denjoy-Riemann and Denjoy-McShane integrals of functions mapping an interval into a Banach space It is shown that a Denjoy-Bochner integrable function on is Denjoy-Riemann integrable on , that a Denjoy-Riemann integrable function on is Denjoy-McShane integrable on and that a Denjoy-McShane integrable function on is Denjoy-Pettis integrable on In addition, it is shown that for spaces that do not contain a copy of , a measurable Denjoy-McShane integrable...
The (sub/super)additivity assertion of Choquet
The assertion in question comes from the short final section in Theory of capacities of Choquet (1953/54), in connection with his prototype of the subsequent Choquet integral. The problem was whether and when this operation is additive. Choquet had the much more abstract idea that all functionals in a certain wide class must be subadditive, and similarly for superadditivity. His treatment of this point was more like an outline, and his proof limited to a rather narrow special case. Thus the proper...
The symmetric Choquet integral with respect to Riesz-space-valued capacities
A definition of “Šipoš integral” is given, similarly to [3],[5],[10], for real-valued functions and with respect to Dedekind complete Riesz-space-valued “capacities”. A comparison of Choquet and Šipoš-type integrals is given, and some fundamental properties and some convergence theorems for the Šipoš integral are proved.
Two-valued measures on -classes
Two-valued states on a concrete logic and the additivity problem
Upper and lower integral difference functionals, closest approximations, and integrability
Upper and lower Lebesgue-Stieltjes integrals
Varadhan's theorem for capacities
Varadhan's integration theorem, one of the corner stones of large-deviation theory, is generalized to the context of capacities. The theorem appears valid for any integral that obeys four linearity properties. We introduce a collection of integrals that have these properties. Of one of them, known as the Choquet integral, some continuity properties are established as well.
Weak integrals defined on Euclidean n-space
Weakly compact operators and -additive measures
Whitney covers and quasi-isometry of -averaging domains.
Интегрируемые FR-конструкты над вероятностным пространством
К вопросу об универсальной интегрируемости ограниченных функций