The role of measurability in game-theoretic probability
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Publication:2364533
DOI10.1007/S00780-017-0336-4zbMATH Open1414.91440arXiv1604.00596OpenAlexW3102919679WikidataQ59614159 ScholiaQ59614159MaRDI QIDQ2364533FDOQ2364533
Authors: Vladimir Vovk 
Publication date: 21 July 2017
Published in: Finance and Stochastics (Search for Journal in Brave)
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.
Full work available at URL: https://arxiv.org/abs/1604.00596
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Stopping times; optimal stopping problems; gambling theory (60G40) Other game-theoretic models (91A40) Actuarial science and mathematical finance (91G99)
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Cited In (9)
- How to base probability theory on perfect-information games
- Continuous-time trading and the emergence of randomness
- Measurable, nonleavable gambling problems
- 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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