Core of convex distortions of a probability on a non atomic space

  title={Core of convex distortions of a probability on a non atomic space},
  author={G. Carlier and R.-A. Dana},
This paper characterizes the core of a differentiable convex distortion of a probability measure on a non atomic space by identifying it with the set of densities which dominate the derivative of the distortion, for second order stochastic dominance. Furthermore the densities that have the same distribution as the derivative of the distortion are the extreme points of the core. These results are applied to the differentiability of a Choquet integral with respect to a distortion of a probability… CONTINUE READING

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