Convergence of random series and the rate of convergence of the strong law of large numbers in game-theoretic probability
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Publication:655314
DOI10.1016/J.SPA.2011.10.011zbMATH Open1230.60030arXiv1103.1426OpenAlexW2036310954MaRDI QIDQ655314FDOQ655314
Authors: Kenshi Miyabe, Akimichi Takemura 
Publication date: 4 January 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: We give a unified treatment of the convergence of random series and the rate of convergence of strong law of large numbers in the framework of game-theoretic probability of Shafer and Vovk (2001). We consider games with the quadratic hedge as well as more general weaker hedges. The latter corresponds to existence of an absolute moment of order smaller than two in the measure-theoretic framework. We prove some precise relations between the convergence of centered random series and the convergence of the series of prices of the hedges. When interpreted in measure-theoretic framework, these results characterize convergence of a martingale in terms of convergence of the series of conditional absolute moments. In order to prove these results we derive some fundamental results on deterministic strategies of Reality, who is a player in a protocol of game-theoretic probability. It is of particular interest, since Reality's strategies do not have any counterparts in measure-theoretic framework, ant yet they can be used to prove results, which can be interpreted in measure-theoretic framework.
Full work available at URL: https://arxiv.org/abs/1103.1426
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Cited In (12)
- Sub-Gaussians in game-theoretic probability
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- 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
- A composite generalization of Ville's martingale theorem using e-processes
- Derandomization in game-theoretic probability
- Bayesian logistic betting strategy against probability forecasting
- The law of the iterated logarithm in game-theoretic probability with quadratic and stronger hedges
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- Itô calculus without probability in idealized financial markets
- Strong law of large numbers for adapted sequences and application to multivalued supermartingale
- Purely game-theoretic random sequences. I: Strong law of large numbers and law of the iterated logarithm
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