On Independence for Capacities to Fit Ellsberg's Model with a Weak Law of Large Numbers

Autor:	Huang, Weihuan, Lin, Yiwei
Rok vydání:	2017
Předmět:	Mathematics - Probability 60A05
Druh dokumentu:	Working Paper
Popis:	This paper introduces new notions of Fubini independence and Exponential independence of random variables under capacities to fit Ellsberg's model, and finds out the relations between Fubini independence, Exponential independence, MacCheroni and Marinacci's independence and Peng's independence. As an application, we give a weak law of large numbers for capacities under Exponential independence. Simulations show that Ellsberg's model enjoy the weak law of large numbers when there is mean uncertainty with or without variance uncertainty. Comment: 16 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1712.03325 Zobrazit plný text záznamu View this record from Arxiv