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The most exciting game - MaRDI portal

The most exciting game

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Publication:6597221

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DOI10.1214/24-ecp574zbMath1547.91008MaRDI QIDQ6597221

Mathias Beiglböck, J. Backhoff-Veraguas

Publication date: 3 September 2024

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

zbMATH Keywords

entropy martingale optimal transport prediction markets specific relative entropy max-entropy win-martingale

Mathematics Subject Classification ID

Noncooperative games (91A10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

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