The law of the iterated logarithm in game-theoretic probability with quadratic and stronger hedges

DOI10.1016/j.spa.2013.03.018zbMath1290.60036arXiv1208.5088OpenAlexW2053521255MaRDI QIDQ2447705

Kenshi Miyabe, Akimichi Takemura

Publication date: 28 April 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1208.5088

zbMATH Keywords

martingaleHölder's inequalitycompliance

Mathematics Subject Classification ID

Applications of game theory (91A80) Strong limit theorems (60F15) Financial applications of other theories (91G80)

Related Items (4)

The (functional) law of the iterated logarithm of the sojourn time for a multiclass queue ⋮ A composite generalization of Ville's martingale theorem using e-processes ⋮ Itô calculus without probability in idealized financial markets ⋮ Relation between the rate of convergence of strong law of large numbers and the rate of concentration of Bayesian prior in game-theoretic probability

Cites Work

• Exponential inequalities and the law of the iterated logarithm in the unbounded forecasting game
• Convergence of random series and the rate of convergence of the strong law of large numbers in game-theoretic probability
• On the law of the iterated logarithm for a sequence of independent random variables with finite variances
• Probability and Finance
• A Way of Proving Theorems on the Law of the Iterated Logarithm
• A converse to the law of the iterated logarithm
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