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Keywords:
capacities; large deviations; Choquet integral; Varadhan's integration theorem
capacities; large deviations; Choquet integral; Varadhan's integration theorem
Summary:
Varadhan's integration theorem, one of the corner stones of large-deviation theory, is generalized to the context of capacities. The theorem appears valid for any integral that obeys four linearity properties. We introduce a collection of integrals that have these properties. Of one of them, known as the Choquet integral, some continuity properties are established as well.
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