On Independence for Capacities to Fit Ellsberg's Model with a Weak Law of Large Numbers

Abstract

This paper introduces new notions of Fubini independence and Exponential independence of random variables under capacities to fit Ellsberg's model, and finds out the relations between Fubini independence, Exponential independence, MacCheroni and Marinacci's independence and Peng's independence. As an application, we give a weak law of large numbers for capacities under Exponential independence. Simulations show that Ellsberg's model enjoy the weak law of large numbers when there is mean uncertainty with or without variance uncertainty.