A new formulation of asset trading games in continuous time with essential forcing of variation exponent

DOI10.3150/08-BEJ188zbMath1201.91017arXiv0708.0275MaRDI QIDQ605895

Masayuki Kumon, Akimichi Takemura, Kei Takeuchi

Publication date: 15 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.0275

zbMATH Keywords

modulus of continuityKullback-Leibler informationHölder exponentgame-theoretic probabilitybeta-binomial distributionBayesian strategysquare root of \(dt\) effect

Mathematics Subject Classification ID

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

Related Items (10)

A superhedging approach to stochastic integration ⋮ Pathwise superreplication via Vovk's outer measure ⋮ Sequential optimizing strategy in multi-dimensional bounded forecasting games ⋮ Rough paths in idealized financial markets ⋮ Itô calculus without probability in idealized financial markets ⋮ Approximations and asymptotics of upper hedging prices in multinomial models ⋮ Continuous-time trading and the emergence of probability ⋮ Multistep Bayesian Strategy in Coin-Tossing Games and Its Application to Asset Trading Games in Continuous Time ⋮ Examples of Itô càdlàg rough paths ⋮ One-dimensional game-theoretic differential equations

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