Abstract
Fatou’s lemma plays an important role in classical probability and measure theory. Non-additive measure is a generalization of additive probability measure. Sugeno’s integral is a useful tool in several theoretical and applied statistics which have been built on non-additive measure. In this paper, a Fatou-type lemma for Sugeno integral is shown. The studied inequality is based on the classical Fatou lemma for Lebesgue integral. To illustrate the proposed inequalities some examples are given.
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