Continuous-time trading and the emergence of randomness

DOI10.1080/17442500802221712zbMath1182.60016arXiv0712.1275OpenAlexW2171029817MaRDI QIDQ3647586

Vladimir Vovk

Publication date: 23 November 2009

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0712.1275

zbMATH Keywords

continuous timegame-theoretic probabilitysample path propertieslevel sets of sample pathsnon-increase of sample paths

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Sample path properties (60G17) Derivative securities (option pricing, hedging, etc.) (91G20) Probabilistic games; gambling (91A60) Foundations of stochastic processes (60G05)

Related Items (8)

A superhedging approach to stochastic integration ⋮ A new formulation of asset trading games in continuous time with essential forcing of variation exponent ⋮ Sequential optimizing strategy in multi-dimensional bounded forecasting games ⋮ BDG inequalities and their applications for model-free continuous price paths with instant enforcement ⋮ On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales ⋮ Continuous-time trading and the emergence of probability ⋮ Prequential randomness and probability ⋮ One-dimensional game-theoretic differential equations

Cites Work

• On a simple strategy weakly forcing the strong law of large numbers in the bounded forecasting game
• Implications of contrarian and one-sided strategies for the fair-coin game
• Prequential probability: principles and properties
• Notes on random functions
• On nonincrease of Brownian motion
• Probability and Finance
• ON CONTINUOUS MARTINGALES
• Unnamed Item

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