A composite generalization of Ville's martingale theorem using e-processes

DOI10.1214/23-ejp1019arXiv2203.04485OpenAlexW4387985667MaRDI QIDQ6177514

Johannes Ruf, Wouter M. Koolen, Aaditya Ramdas, Martin Larsson

Publication date: 17 January 2024

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.04485

zbMATH Keywords

martingalenull sete-processoptional stoppingmeasure zero

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic measure theory (60A10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic finance. An introduction in discrete time.
• On a simple strategy weakly forcing the strong law of large numbers in the bounded forecasting game
• \(L_p\)-version of the Dubins-Savage inequality and some exponential inequalities
• Time-uniform, nonparametric, nonasymptotic confidence sequences
• Log-optimal anytime-valid E-values
• Testing exchangeability: fork-convexity, supermartingales and e-processes
• Time-uniform Chernoff bounds via nonnegative supermartingales
• Erdős-Feller-Kolmogorov-Petrowsky law of the iterated logarithm for self-normalized martingales: A game-theoretic approach
• The law of the iterated logarithm in game-theoretic probability with quadratic and stronger hedges
• Probability and Finance
• Probability for Statisticians
• Game‐Theoretic Foundations for Probability and Finance
• Probability Inequalities for Sums of Bounded Random Variables
• A TCHEBYCHEFF-LIKE INEQUALITY FOR STOCHASTIC PROCESSES
• Statistical Methods Related to the Law of the Iterated Logarithm
• Boundary Crossing Probabilities for the Wiener Process and Sample Sums
• Regularity Properties of Certain Families of Chance Variables
• Sequential Tests of Statistical Hypotheses

This page was built for publication: A composite generalization of Ville's martingale theorem using e-processes