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arXiv · 1608.02706

Another example of duality between game-theoretic and measure-theoretic probability

Vladimir Vovk
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Abstract

This paper makes a small step towards a non-stochastic version of superhedging duality relations in the case of one traded security with a continuous price path. Namely, we prove the coincidence of game-theoretic and measure-theoretic expectation for lower semicontinuous positive functionals. We consider a new broad definition of game-theoretic probability, leaving the older narrower definitions for future work.

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Vladimir Vovk. 2016-08-09. Another example of duality between game-theoretic and measure-theoretic probability. https://arxiv.org/abs/1608.02706

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