Game-theoretic foundations for probability and finance
DOI10.1002/9781118548035zbMATH Open1422.91026OpenAlexW2944449625MaRDI QIDQ5222826FDOQ5222826
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
Recommendations
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)
Cited In (47)
- How to base probability theory on perfect-information games
- Knowing by drawing: geometric material models in nineteenth century France
- Thinking with notations: epistemic actions and epistemic activities in mathematical practice
- On the (dis)similarities between stationary imprecise and non-stationary precise uncertainty models in algorithmic randomness
- Deciding when to quit the gambler's ruin game with unknown probabilities
- Game-theoretic statistics and safe anytime-valid inference
- Sub-Gaussians in game-theoretic probability
- Log-optimal anytime-valid E-values
- Imprecision in martingale- and test-theoretic prequential randomness
- Non-Algorithmic Theory of Randomness
- Models of decision-making in a game with nature under conditions of probabilistic uncertainty
- On SDEs with Lipschitz coefficients, driven by continuous, model-free martingales
- Martingales in the Study of Randomness
- Gibbs distribution from sequentially predictive form of the second law
- Post-selection inference for e-value based confidence intervals
- Modeling parallel transport
- Comonotone lower probabilities with robust marginal distributions functions
- A composite generalization of Ville's martingale theorem using e-processes
- Game-Theoretic Derivation of Discrete Distributions and Discrete Pricing Formulas
- 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
- Confidence and discoveries with \(e\)-values
- A particular upper expectation as global belief model for discrete-time finite-state uncertain processes
- On the existence of powerful p-values and e-values for composite hypotheses
- The game-theoretic framework for probability
- 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
- Did Jean Ville Invent Martingales?
- Martingales at the Casino
- Testing randomness online
- Methods for determining optimal mixed strategies in matrix games with correlated random payoffs
- Probability and finance. It's only a game!
- Game-theoretic statistical inference: optional sampling, universal inference, and multiple testing based on e-values. Abstracts from the workshop held May 5--10, 2024
- E-values: calibration, combination and applications
- The role of measurability in game-theoretic probability
This page was built for publication: Game-theoretic foundations for probability and finance
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5222826)