Capital Process and Optimality Properties of a Bayesian Skeptic in Coin-Tossing Games

DOI10.1080/07362990802405646zbMath1154.62078arXivmath/0510662MaRDI QIDQ3548434

Kei Takeuchi, Masayuki Kumon, Akimichi Takemura

Publication date: 12 December 2008

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0510662

zbMATH Keywords

exchangeability; prior distribution; Kullback divergence; game-theoretic probability; hypergeometric distribution; beta-binomial distribution; Azuma-Hoeffding-Bennett inequality

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62P05: Applications of statistics to actuarial sciences and financial mathematics

62C10: Bayesian problems; characterization of Bayes procedures

91A40: Other game-theoretic models

91A15: Stochastic games, stochastic differential games

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