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arxiv: 1308.6761 · v1 · pith:AK2QX6WMnew · submitted 2013-08-30 · 🧮 math.ST · stat.TH

Infinite Previsions and Finitely Additive Expectations

classification 🧮 math.ST stat.TH
keywords additivefinitelyprevisionsrandomunboundedvariablesextensiongive
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We give an extension of de Finetti's concept of coherence to unbounded (but real-valued) random variables that allows for gambling in the presence of infinite previsions. We present a finitely additive extension of the Daniell integral to unbounded random variables that we believe has advantages over Lebesgue-style integrals in the finitely additive setting. We also give a general version of the Fundamental Theorem of Prevision to deal with conditional previsions and unbounded random variables.

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