Probability and Finance
From MaRDI portal
Publication:2754862
DOI10.1002/0471249696zbMath0985.91024OpenAlexW2737799282MaRDI QIDQ2754862
Vladimir Vovk, Glenn R. Shafer
Publication date: 4 November 2001
Published in: Wiley Series in Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/0471249696
Applications of game theory (91A80) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Strong limit theorems (60F15) Axioms; other general questions in probability (60A05) Portfolio theory (91G10)
Related Items
Did Jean Ville Invent Martingales? ⋮ Martingales in the Study of Randomness ⋮ Epistemic confidence in the observed confidence interval ⋮ Game-theoretic statistics and safe anytime-valid inference ⋮ Kolmogorov's Last Discovery? (Kolmogorov and Algorithmic Statistics) ⋮ A composite generalization of Ville's martingale theorem using e-processes ⋮ The role of measurability in game-theoretic probability ⋮ Robust option pricing: Hannan and Blackwell meet Black and Scholes ⋮ Sequential Decision Processes under Act-State Independence with Arbitrary Choice Functions ⋮ Convergence to the truth without countable additivity ⋮ A superhedging approach to stochastic integration ⋮ Computing lower and upper expected first-passage and return times in imprecise birth-death chains ⋮ Imprecise stochastic processes in discrete time: global models, imprecise Markov chains, and ergodic theorems ⋮ The game-theoretic capital asset pricing model ⋮ The sources of Kolmogorov's \textit{Grundbegriffe} ⋮ A mathematical theory of evidence turns 40 ⋮ Quantum physical symbol systems ⋮ Zeroth-order phase transitions and Zipf law quantization ⋮ Imprecise probability trees: bridging two theories of imprecise probability ⋮ Competitive On-line Statistics ⋮ Revision of probability theory from the point of view of quantum statistics ⋮ A new formulation of asset trading games in continuous time with essential forcing of variation exponent ⋮ A probabilistic logic based on the acceptability of gambles ⋮ On the Regularities of Mass Random Phenomena ⋮ Sequential optimizing strategy in multi-dimensional bounded forecasting games ⋮ Insuring against loss of evidence in game-theoretic probability ⋮ Concentration inequalities and laws of large numbers under epistemic and regular irrelevance ⋮ A new understanding of subjective probability and its generalization to lower and upper prevision. ⋮ Distribution of investments in the stock market, information types, and algorithmic complexity ⋮ Exponential inequalities and the law of the iterated logarithm in the unbounded forecasting game ⋮ Lévy's zero-one law in game-theoretic probability ⋮ Merging of opinions in game-theoretic probability ⋮ The generality of the zero-one laws ⋮ Prequential Randomness ⋮ Supermartingales in Prediction with Expert Advice ⋮ Rough paths in idealized financial markets ⋮ Impugning randomness, convincingly ⋮ A logical characterization of coherence for imprecise probabilities ⋮ Granularity of wagers in games and the possibility of saving ⋮ Probability and time ⋮ The law of the iterated logarithm in game-theoretic probability with quadratic and stronger hedges ⋮ Rough functions: \(p\)-variation, calculus, and index estimation ⋮ Convergence of random series and the rate of convergence of the strong law of large numbers in game-theoretic probability ⋮ Derandomization in game-theoretic probability ⋮ Capital Process and Optimality Properties of a Bayesian Skeptic in Coin-Tossing Games ⋮ Densities of lattices corresponding to spaces of positive, negative, and variational dimension, and their application to time series ⋮ Itô calculus without probability in idealized financial markets ⋮ A particular upper expectation as global belief model for discrete-time finite-state uncertain processes ⋮ Non-asymptotic calibration and resolution ⋮ Optimization Methods for Large-Scale Machine Learning ⋮ Gibbs distribution from sequentially predictive form of the second law ⋮ Leading strategies in competitive on-line prediction ⋮ Relation between the rate of convergence of strong law of large numbers and the rate of concentration of Bayesian prior in game-theoretic probability ⋮ Implications of contrarian and one-sided strategies for the fair-coin game ⋮ An exponential inequality and the convergence rate of the strong law of large numbers in the unbounded forecasting game ⋮ Forward irrelevance ⋮ Bayesian Logistic Betting Strategy Against Probability Forecasting ⋮ A sufficient condition for a riskless distribution of investments ⋮ Approximations and asymptotics of upper hedging prices in multinomial models ⋮ Nonstandard analysis, parastatistics, and fractals ⋮ Williams coherence and beyond ⋮ Continuous-time trading and the emergence of probability ⋮ Game-theoretic versions of strong law of large numbers for unbounded variables ⋮ Probabilistic Forecasts, Calibration and Sharpness ⋮ A betting interpretation for probabilities and Dempster-Shafer degrees of belief ⋮ Probability, causality and the empirical world: a Bayes-de Finetti-Popper-Borel synthesis ⋮ Multistep Bayesian Strategy in Coin-Tossing Games and Its Application to Asset Trading Games in Continuous Time ⋮ A survey of the theory of coherent lower previsions ⋮ Game theoretical optimization inspired by information theory ⋮ Prequential randomness and probability ⋮ Supermartingales in prediction with expert advice ⋮ Microscopic reversibility and macroscopic irreversibility: from the viewpoint of algorithmic randomness ⋮ Reconciling the subjective and objective aspects of probability ⋮ Algorithmic tests and randomness with respect to a class of measures ⋮ VON NEUMANN, VILLE, AND THE MINIMAX THEOREM ⋮ Significance testing with no alternative hypothesis: A measure of surprise ⋮ On a simple strategy weakly forcing the strong law of large numbers in the bounded forecasting game ⋮ Marie-France Bru and Bernard Bru on dice games and contracts ⋮ A frequentist understanding of sets of measures ⋮ A unified framework for robust modelling of financial markets in discrete time ⋮ Game-theoretic derivation of upper hedging prices of multivariate contingent claims and submodularity ⋮ Game-theoretic upper expectations for discrete-time finite-state uncertain processes ⋮ On calibration error of randomized forecasting algorithms ⋮ Comments on: Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds ⋮ Learning Volatility of Discrete Time Series Using Prediction with Expert Advice ⋮ Robust Control Approach to Digital Option Pricing:Synthesis Approach ⋮ Continuous-time trading and the emergence of randomness ⋮ Editorial. Probability and statistics: foundations and history. Special issue in honor of Glenn Shafer ⋮ Glenn Shafer -- a short biography ⋮ One-dimensional game-theoretic differential equations ⋮ Randomness is inherently imprecise ⋮ Testing exchangeability: fork-convexity, supermartingales and e-processes ⋮ The notion of event in probability and causality: situating myself relative to Bruno de Finetti ⋮ Causal interpretation of graphical models ⋮ Weak and strong laws of large numbers for coherent lower previsions ⋮ Prediction with Expert Evaluators’ Advice ⋮ Theory of chaos and its application to the crisis of debts and the origin of inflation ⋮ On explosive flicker noises ⋮ Good Randomized Sequential Probability Forecasting is Always Possible ⋮ Uncomputability and undecidability in economic theory ⋮ Thermodynamics of fluids for imperfect gases with Lennard-Jones interaction potential. I. ⋮ Some implications of renormalization group theoretical ideas to statistics ⋮ Modeling parallel transport ⋮ Thinking with notations: epistemic actions and epistemic activities in mathematical practice ⋮ A strategy-proof test of portfolio returns ⋮ Drifting games and Brownian motion
This page was built for publication: Probability and Finance
