One-dimensional game-theoretic differential equations

DOI10.1016/J.IJAR.2021.03.003OpenAlexW3136142324WikidataQ115352309 ScholiaQ115352309MaRDI QIDQ2069031FDOQ2069031

Authors: Rafał M. Łochowski, Nicolas Perkowski, David J. Prömel 

Publication date: 20 January 2022

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2101.08041

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zbMATH Keywords

stochastic differential equationsmodel-free financeYamada-Watanabe theorempathwise stochastic calculusVovk's outer measureDoss-Sussmann approximation

Mathematics Subject Classification ID

Reasoning under uncertainty in the context of artificial intelligence (68T37)

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Cited In (3)

• On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
• One-dimensional game-theoretic differential equations
• On a one-dimensional differential game with a non-convex terminal payoff

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