One-dimensional game-theoretic differential equations

DOI10.1016/J.IJAR.2021.03.003MaRDI QIDQ2069031zbMATH OpenOpenAlexWikidataFDO

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

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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