The law of the iterated logarithm in game-theoretic probability with quadratic and stronger hedges
Kenshi Miyabe, Akimichi Takemura
TL;DR
This paper establishes the validity and sharpness of the law of the iterated logarithm within a game-theoretic probability framework, specifically considering quadratic and stronger hedges, advancing theoretical understanding in this area.
Contribution
It proves the law of the iterated logarithm's validity and sharpness in game-theoretic probability with quadratic and stronger hedges, extending previous results.
Findings
Law of the iterated logarithm is valid in this framework
The results are sharp, indicating optimal bounds
Extends theoretical understanding of game-theoretic probability
Abstract
We prove both the validity and the sharpness of the law of the iterated logarithm in game-theoretic probability with quadratic and stronger hedges.
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Taxonomy
TopicsProbability and Statistical Research · Financial Risk and Volatility Modeling · Stochastic processes and financial applications