The role of measurability in game-theoretic probability

DOI10.1007/S00780-017-0336-4MaRDI QIDQ2364533zbMATH OpenOpenAlexWikidataFDO

Authors Vladimir Vovk

Publication date 21 July 2017

Published in Finance and Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1604.00596

zbMATH Keywords

continuous timeincomplete marketsaxiom of choicemeasurabilitygame-theoretic probability

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Other game-theoretic models (91A40) Actuarial science and mathematical finance (91G99)

Abstract: This paper proposes new get-rich-quick schemes that involve trading in a financial security with a non-degenerate price path. For simplicity the interest rate is assumed zero. If the price path is assumed continuous, the trader can become infinitely rich immediately after it becomes non-constant (if it ever does). If it is assumed positive, he can become infinitely rich immediately after reaching a point in time such that the variation of the log price is infinite in any right neighbourhood of that point (whereas reaching a point in time such that the variation of the log price is infinite in any left neighbourhood of that point is not sufficient). The practical value of these schemes is tempered by their use of the Axiom of Choice.

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Cites work

• scientific article; zbMATH DE number 3909046 (Why is no real title available?)
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• scientific article; zbMATH DE number 3505964 (Why is no real title available?)
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• Anonymity in predicting the future
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• Pathwise stochastic integrals for model free finance
• Probability and finance. It's only a game!
• Rough paths in idealized financial markets
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(9)

• How to base probability theory on perfect-information games
• Measurable, nonleavable gambling problems
• Continuous-time trading and the emergence of randomness
• A nonclassical solution to a classical SDE and a converse to Kolmogorov's zero-one law
• Leavable Gambling Problems with Unbounded Utilities
• Insuring against loss of evidence in game-theoretic probability
• Game-theoretic upper expectations for discrete-time finite-state uncertain processes
• One-dimensional game-theoretic differential equations
• Measure-Based Values of Nonatomic Games

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