Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Steady-state Probabilities under Non-additivity

  • Published : 1997.12.01
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Abstract

Uncertainty, which arises when little information is revealed, can be represented by a non-additive probability, while risk is described by an additive one. This paper demonstrates that in the presence of uncertainty a steady state probability exists, which implies that we can estimate an average over a long period even under uncertainty. It is also shown that the steady state probability may not be unique in the presence of uncertainty. This implies that the estimated average under uncertainty is less accurate than under risk.

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