hero working papers

Choquet Integration on Riesz Spaces and Dual Comonotonicity

Number: 433
Year: 2012
Author(s): Simone Cerreia-Vioglio, Fabio Maccheroni, Massimo Marinacci,Luigi Montrucchio
We give a general integral representation theorem (Theorem 6) for nonadditive functionals de...ned on an Archimedean Riesz space X with order unit. Additivity is replaced by a weak form of modularity, or equivalently dual comonotonic additivity, and integrals are Choquet integrals. Those integrals are de...ned through the Kakutani [8] isometric identi...cation of X with a C (K) space. We further show that our novel notion of dual comonotonicity naturally generalizes and characterizes the notions of comonotonicity found in the literature when X is assumed to be a space of functions.