Multistep Bayesian Strategy in Coin-Tossing Games and Its Application to Asset Trading Games in Continuous Time

DOI10.1080/07362994.2010.503467zbMath1198.91048arXiv0802.4311OpenAlexW1994027373MaRDI QIDQ4932834

Kei Takeuchi, Masayuki Kumon, Akimichi Takemura

Publication date: 7 October 2010

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

Full work available at URL: https://arxiv.org/abs/0802.4311

zbMATH Keywords

Hölder exponentrandomnessKullback divergencebeta-binomial distributionuniversal priorrisk neutral probability

Mathematics Subject Classification ID

Strong limit theorems (60F15) Other game-theoretic models (91A40) Rationality and learning in game theory (91A26) Probabilistic games; gambling (91A60) Actuarial science and mathematical finance (91G99)

Related Items (2)

Sequential optimizing strategy in multi-dimensional bounded forecasting games ⋮ Continuous-time trading and the emergence of probability

Cites Work

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• A new formulation of asset trading games in continuous time with essential forcing of variation exponent
• On a simple strategy weakly forcing the strong law of large numbers in the bounded forecasting game
• Implications of contrarian and one-sided strategies for the fair-coin game
• Continuous-time trading and the emergence of volatility
• Probability and Finance
• Algorithmic Randomness and Complexity
• Capital Process and Optimality Properties of a Bayesian Skeptic in Coin-Tossing Games
• Von Mises' definition of random sequences reconsidered
• Computability and Randomness
• Elements of Information Theory

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