The role of measurability in game-theoretic probability (Q2364533)

The author considers game-theoretic probability which is an alternative of the measure-theoretic probability allowing us to state and prove results free of statistical assumptions. In game-theoretic probability, measurability is usually not needed in discrete time (and is never assumed). The paper however shows that in continuous time some assumptions of regularity (such as Borel- or universal measurability) should be imposed even in game-theoretic probability. This is not a serious problem in applications since only computable trading strategies can be of practical interest, and computable trading strategies will be measurable under any reasonable computational model.