Lévy's zero-one law in game-theoretic probability

DOI10.1007/S10959-011-0390-3MaRDI QIDQ2428540zbMATH OpenOpenAlexWikidataFDO

Authors Akimichi Takemura, Glenn Shafer, Vladimir Vovk

Publication date 26 April 2012

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0905.0254

zbMATH Keywords

Doob's martingale convergence theoremergodicity of Bernoulli shiftsKolmogorov's zero-one lawLévy's martingale convergence theorem

Mathematics Subject Classification ID

Axioms; other general questions in probability (60A05) Zero-one laws (60F20) Martingales with discrete parameter (60G42)

Abstract: We prove a game-theoretic version of Levy's zero-one law, and deduce several corollaries from it, including non-stochastic versions of Kolmogorov's zero-one law, the ergodicity of Bernoulli shifts, and a zero-one law for dependent trials. Our secondary goal is to explore the basic definitions of game-theoretic probability theory, with Levy's zero-one law serving a useful role.

Review text

The authors continue to advocate a new axiomatic version of probability theory, the so-called game-theoretic probability, different from the classical measure-theoretic probability. Parallel notions such as sample space, event, probability, expectation, supermartingale, martingale, cut (analogue to stopping time), etc. are discussed. Mimicking the standard proof of Doob's martingale convergence theorem, they present a game-theoretic version of Lévy's zero-one law, from which game-theoretic versions of Kolmogorov's zero-one law and the ergodicity of Bernoulli shifts are derived.

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Cites work

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Cited in

(11)

• Marie-France Bru and Bernard Bru on dice games and contracts
• Game-theoretic upper expectations for discrete-time finite-state uncertain processes
• Randomness is inherently imprecise
• A particular upper expectation as global belief model for discrete-time finite-state uncertain processes
• On the Hewitt-Savage zero one law in the strategic setup
• Imprecise stochastic processes in discrete time: global models, imprecise Markov chains, and ergodic theorems
• The generality of the zero-one laws
• Superhedging supermartingales
• Conditional non-lattice integration, pricing, and superhedging
• Approximations and asymptotics of upper hedging prices in multinomial models
• Randomness and imprecision: from supermartingales to randomness tests

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