Sure wins, separating probabilities and the representation of linear functionals
Additional information
Authors
Type
Journal Article
Year
2009
Language
English
Abstract
We discuss conditions under which a convex cone K ⊂ RΩ admits a finitely additive probability m such that supk∈K m(k) ≤ 0. Based on these, we characterize those linear functionals that are representable as finitely additive expectations. A version of Riesz decomposition based on this property is obtained as well as a characterisation of positive functionals on the space of integrable functions.
Keywords
Daniell theorem, finitely additive probability, finitely additive supermartingales, integral representation of linear functionals, Riesz decomposition
Journal
Journal of mathematical analysis and applications
Volume
354
Number ( Month )
2
Pages (or article number)
558-563
Diffusion
License
License undefined
Visibility
Public
Status open access
Green
