Lower Previsions (eBook)

This book has two main purposes. On the one hand, it provides aconcise and systematic development of the theory of lower previsions,based on the concept of acceptability, in spirit of the work ofWilliams and Walley. On the other hand, it also extends this theory todeal with unbounded quantities, which abound in practicalapplications. Following Williams, we start out with sets of acceptable gambles. Fromthose, we derive rationality criteria---avoiding sure loss andcoherence---and inference methods---natural extension---for(unconditional) lower previsions. We then proceed to study variousaspects of the resulting theory, including the concept of expectation(linear previsions), limits, vacuous models, classical propositionallogic, lower oscillations, and monotone convergence. We discussn-monotonicity for lower previsions, and relate lower previsions withChoquet integration, belief functions, random sets, possibilitymeasures, various integrals, symmetry, and representation theoremsbased on the Bishop-De Leeuw theorem. Next, we extend the framework of sets of acceptable gambles to consideralso unbounded quantities. As before, we again derive rationalitycriteria and inference methods for lower previsions, this time alsoallowing for conditioning. We apply this theory to constructextensions of lower previsions from bounded random quantities to alarger set of random quantities, based on ideas borrowed from thetheory of Dunford integration. A first step is to extend a lower prevision to random quantities thatare bounded on the complement of a null set (essentially boundedrandom quantities). This extension is achieved by a natural extensionprocedure that can be motivated by a rationality axiom stating thatadding null random quantities does not affect acceptability. In a further step, we approximate unbounded random quantities by asequences of bounded ones, and, in essence, we identify those forwhich the induced lower prevision limit does not depend on the detailsof the approximation. We call those random quantities 'previsible'. Westudy previsibility by cut sequences, and arrive at a simplesufficient condition. For the 2-monotone case, we establish a Choquetintegral representation for the extension. For the general case, weprove that the extension can always be written as an envelope ofDunford integrals. We end with some examples of the theory.