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Proof. It is easy to see that any element
( μ A ,
ν A
) ∈M
can be presented in the form
( μ A ,
ν A ) (
0, 1
ν A )=(
0, 1
)
,
( μ A ,0
)=( μ A ,
ν A ) (
0, 1
ν A )
.
If
( μ A ,
ν A
) ∈F
, then
m
(( μ A ,0
)) =
m
(( μ A ν A )) +
m
((
0, 1
ν A ))
.
Generally, we can define m :
M→ [
0, 1
]
by the formula
m
(( μ A ,
ν A )) =
m
(( μ A ,0
))
m
((
0, 1
ν A ))
,
so that m is an extension of m . Of course, we must prove that m is a state. First we prove that
m is additive.
Let A
=( μ A ,
ν A ) ∈M
, B
=( μ B ,
ν B ) ∈M
, A
B
=(
0, 1
)
, hence
(( μ A + μ B
1
)
0,
( ν A + ν B )
1
)=(
0, 1
)
,
μ A + μ B
1, 1
ν A +
1
ν B
1.
Therefore
(
)+
(
)=
( μ A ,
)+
( μ B ,
)
m
A
m
B
m
ν A
m
ν B
=
( μ A ,0
)
(
− ν A )+
( μ B ,0
)
(
− ν B )=
m
m
0, 1
m
m
0, 1
=
m
( μ A
+ μ B ,0
)
m
(
0, 1
ν A
ν B
)=
=
( μ A + μ B ,
ν A + ν B )=
(
)
m
m
A
B
.
Before the continuity of m we shall prove its monotonicity. Let A
B , i.e.
μ A
μ A ,
ν A
ν B .
Then by Theorem 2.1
(
)=
( μ A ,0
)
(
− ν A )=
m
A
m
m
0, 1
=
Ω μ A dP
+ α (
1
Ω ( μ A
+
0
)
dQ
0 dP
α (
1
Ω (
0
+
1
ν A
)
dQ
)=
Ω
=
+ α (
Ω ( μ A + ν A )
)
Ω μ A dP
1
dQ
.
Therefore
(
)
(
)=
+ α − α
− α
m
B
m
A
Ω μ B dP
Ω μ B dQ
Ω ν B dQ
(
Ω μ A dP
+ α α
Ω μ A dQ
α
Ω ν A dQ
)=
=
Ω ( μ B
− μ A
)
− α
Ω ( μ B
− μ A
)
+ α
Ω ( ν A
− ν B
)
dP
dQ
dQ .
Of course, as an easy consequence o Proposition 2.1 we obtain the inequality
− α
fdP
fdQ
0
Ω
Ω
 
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