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Updating Non-Additive Probabilities -- A Geometric Approach

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  • Ehud Lehrer

Abstract

A geometric approach, analogous to the approach used in the additive case, is proposed to determine the conditional expectation with non- additive probabilities. The conditional expectation is then applied for (i) updating the probability when new information becomes available; and (ii) defining the notion of independence of non-additive probabilities and Nash equilibrium.

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File URL: http://128.118.178.162/eps/game/papers/0405/0405010.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Game Theory and Information with number 0405010.

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Length: 25 pages
Date of creation: 19 May 2004
Date of revision:
Handle: RePEc:wpa:wuwpga:0405010

Note: Type of Document - pdf; pages: 25
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Web page: http://128.118.178.162

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Keywords: updating; non-additive probabilities; conditional expectation;

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References

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  1. Sarin, Rakesh & Wakker, Peter P, 1998. "Revealed Likelihood and Knightian Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 16(3), pages 223-50, July-Aug..
  2. Gilboa Itzhak & Schmeidler David, 1993. "Updating Ambiguous Beliefs," Journal of Economic Theory, Elsevier, vol. 59(1), pages 33-49, February.
  3. Gilboa, Itzhak & Lehrer, Ehud, 1991. "The value of information - An axiomatic approach," Journal of Mathematical Economics, Elsevier, vol. 20(5), pages 443-459.
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Cited by:
  1. Jean-Philippe Lefort, 2006. "Comparison of experts in the non-additive case," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00130451, HAL.
  2. Robert Kast & André Lapied & Pascal Toquebeuf, 2008. "Updating Choquet Integrals , Consequentialism and Dynamic Consistency," ICER Working Papers - Applied Mathematics Series 04-2008, ICER - International Centre for Economic Research.
  3. Dominiak, Adam & Dürsch, Peter & Lefort, Jean-Philippe, 2009. "A Dynamic Ellsberg Urn Experiment," Working Papers 0487, University of Heidelberg, Department of Economics.
  4. André Lapied & Robert Kast, 2009. "Updating Choquet valuation and discounting information arrivals," Working Papers halshs-00410532, HAL.

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