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Ergodic Theorems for Lower Probabilities

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  • Simone Cerreia vioglio
  • Fabio Maccheroni
  • Massimo Marinacci

Abstract

We establish an Ergodic Theorem for lower probabilities, a generalization of standard probabilities widely used in applications. As an application, we provide a version for lower probabilities of the Strong Law of Large Numbers.

Suggested Citation

  • Simone Cerreia vioglio & Fabio Maccheroni & Massimo Marinacci, 2013. "Ergodic Theorems for Lower Probabilities," Working Papers 500, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  • Handle: RePEc:igi:igierp:500
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    File URL: ftp://ftp.igier.unibocconi.it/wp/2013/500.pdf
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    References listed on IDEAS

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    1. Cerreia-Vioglio, Simone & Maccheroni, Fabio & Marinacci, Massimo & Montrucchio, Luigi, 2013. "Ambiguity and robust statistics," Journal of Economic Theory, Elsevier, vol. 148(3), pages 974-1049.
      • Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2011. "Ambiguity and Robust Statistics," Working Papers 382, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Marinacci, Massimo, 1999. "Limit Laws for Non-additive Probabilities and Their Frequentist Interpretation," Journal of Economic Theory, Elsevier, vol. 84(2), pages 145-195, February.
    3. Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci & Luigi Montrucchio, 2010. "Singed Integral Representations of Comonotonic Additive Functionals," Working Papers 366, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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