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

DOI10.1080/07362990802405646zbMATH Open1154.62078arXivmath/0510662OpenAlexW3100232795MaRDI QIDQ3548434FDOQ3548434

Authors: Masayuki Kumon, Kei Takeuchi, Akimichi Takemura 

Publication date: 12 December 2008

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

Abstract: We study capital process behavior in the fair-coin game and biased-coin games in the framework of the game-theoretic probability of Shafer and Vovk (2001). We show that if Skeptic uses a Bayesian strategy with a beta prior, the capital process is lucidly expressed in terms of the past average of Reality's moves. From this it is proved that the Skeptic's Bayesian strategy weakly forces the strong law of large numbers (SLLN) with the convergence rate of O(sqrt{log n/n})$ and if Reality violates SLLN then the exponential growth rate of the capital process is very accurately described in terms of the Kullback divergence between the average of Reality's moves when she violates SLLN and the average when she observes SLLN. We also investigate optimality properties associated with Bayesian strategy.

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

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zbMATH Keywords

exchangeabilitybeta-binomial distributionprior distributionKullback divergencegame-theoretic probabilityhypergeometric distributionAzuma-Hoeffding-Bennett inequality

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian problems; characterization of Bayes procedures (62C10) Stochastic games, stochastic differential games (91A15) Other game-theoretic models (91A40)

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Cited In (12)

• Exponential inequalities and the law of the iterated logarithm in the unbounded forecasting game
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• On a simple strategy weakly forcing the strong law of large numbers in the bounded forecasting game
• Gibbs distribution from sequentially predictive form of the second law
• Implications of contrarian and one-sided strategies for the fair-coin game
• Continuous-time trading and the emergence of probability
• BETTER PRIORS FOR BAYESIAN BETTORS
• Sequential optimizing strategy in multi-dimensional bounded forecasting games
• Bayesian logistic betting strategy against probability forecasting
• Multistep Bayesian strategy in coin-tossing games and its application to asset trading games in continuous time
• An exponential inequality and the convergence rate of the strong law of large numbers in the unbounded forecasting game
• A new formulation of asset trading games in continuous time with essential forcing of variation exponent

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