Another example of duality between game-theoretic and measure-theoretic\n probability

2016/08/09 by Vladimir Vovk, Vovk, Vladimir
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G05 #60G44 #91G20 #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Probability and Statistical Research #Risk and Portfolio Optimization #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1608.02706

openalex publication_date 2016/08/09 · openalex created_date 2021/02/01 · openalex updated_date 2026/07/28

Abstract

This paper makes a small step towards a non-stochastic version of\nsuperhedging duality relations in the case of one traded security with a\ncontinuous price path. Namely, we prove the coincidence of game-theoretic and\nmeasure-theoretic expectation for lower semicontinuous positive functionals. We\nconsider a new broad definition of game-theoretic probability, leaving the\nolder narrower definitions for future work.\n

Citations

• Prequential probability: game-theoretic = measure theoretic

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