Convergence of random series and the rate of convergence of the strong law of large numbers in game-theoretic probability

DOI10.1016/J.SPA.2011.10.011MaRDI QIDQ655314zbMATH OpenOpenAlexFDO

Authors Kenshi Miyabe, Akimichi Takemura

Publication date 4 January 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.1426

zbMATH Keywords

Marcinkiewicz-Zygmund strong lawlaw of the iterated logarithmKronecker's lemmathree-series theoremLévy's extension of the Borel-Cantelli lemma

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic games, stochastic differential games (91A15)

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.

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Cited in

(12)

• Sub-Gaussians in game-theoretic probability
• Relation between the rate of convergence of strong law of large numbers and the rate of concentration of Bayesian prior in game-theoretic probability
• 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
• Game-theoretic versions of strong law of large numbers for unbounded variables
• 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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