Game-theoretic foundations for probability and finance

DOI10.1002/9781118548035MaRDI QIDQ5222826zbMATH OpenOpenAlexFDO

Authors Glenn Shafer, Vladimir Vovk

Publication date 3 July 2019

Published in Wiley Series in Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/9781118548035

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of game theory (91A80) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) 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)

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• Deciding when to quit the gambler's ruin game with unknown probabilities
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• Log-optimal anytime-valid E-values
• Game-theoretic statistics and safe anytime-valid inference
• Imprecision in martingale- and test-theoretic prequential randomness
• Non-Algorithmic Theory of Randomness
• Gibbs distribution from sequentially predictive form of the second law
• On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
• Models of decision-making in a game with nature under conditions of probabilistic uncertainty
• Martingales in the Study of Randomness
• Post-selection inference for e-value based confidence intervals
• Modeling parallel transport
• Comonotone lower probabilities with robust marginal distributions functions
• Game-Theoretic Derivation of Discrete Distributions and Discrete Pricing Formulas
• A composite generalization of Ville's martingale theorem using e-processes
• The influence of financial practice in developing mathematical probability. Submitted for a special edition of \textit{Synthese}, ``Enabling mathematical cultures
• BDG inequalities and their applications for model-free continuous price paths with instant enforcement
• A gentle approach to imprecise probability
• The game-theoretic capital asset pricing model
• Bayes factors for peri-null hypotheses
• Game-theoretic upper expectations for discrete-time finite-state uncertain processes
• Merging sequential e-values via martingales
• Stochastic online convex optimization. Application to probabilistic time series forecasting
• A game theory analysis of options. Corporate finance and financial intermediation in continuous time. With a forword by Heinz Zimmermann
• The interval market model in mathematical finance. Game-theoretic methods
• A particular upper expectation as global belief model for discrete-time finite-state uncertain processes
• Confidence and discoveries with \(e\)-values
• The game-theoretic framework for probability
• On the existence of powerful p-values and e-values for composite hypotheses
• 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
• Validity, consonant plausibility measures, and Conformal prediction
• Testing randomness online
• Did Jean Ville Invent Martingales?
• Martingales at the Casino
• Probability and finance. It's only a game!
• Methods for determining optimal mixed strategies in matrix games with correlated random payoffs
• E-values: calibration, combination and applications
• Game-theoretic statistical inference: optional sampling, universal inference, and multiple testing based on e-values. Abstracts from the workshop held May 5--10, 2024
• The role of measurability in game-theoretic probability

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