Related papers: Multistep Bayesian strategy in coin-tossing games …

We introduce a new formulation of asset trading games in continuous time in the framework of the game-theoretic probability established by Shafer and Vovk (Probability and Finance: It's Only a Game! (2001) Wiley). In our formulation, the…

We propose a sequential optimizing betting strategy in the multi-dimensional bounded forecasting game in the framework of game-theoretic probability of Shafer and Vovk (2001). By studying the asymptotic behavior of its capital process, we…

We study capital process behavior in the fair-coin game and biased-coin games in the framework of the game-theoretic probability of Shafer and Vovk (2001). We show that if Skeptic uses a Bayesian strategy with a beta prior, the capital…

We propose a betting strategy based on Bayesian logistic regression modeling for the probability forecasting game in the framework of game-theoretic probability by Shafer and Vovk (2001). We prove some results concerning the strong law of…

In late May of 2014 I received an email from a colleague introducing to me a non-transitive game developed by Walter Penney. This paper explores this probability game from the perspective of a coin tossing game, and further discusses some…

In this paper we present a novel approach to optimise tactical and strategic decision making in football (soccer). We model the game of football as a multi-stage game which is made up from a Bayesian game to model the pre-match decisions…

We study variants of a stochastic game inspired by backgammon where players may propose to double the stake, with the game state dictated by a one-dimensional random walk. Our variants allow for different numbers of proposals and different…

This study investigates differential games with motion-payoff uncertainty in continuous-time settings. We propose a framework where players update their beliefs about uncertain parameters using continuous Bayesian updating. Theoretical…

We take a new look at the problem of disentangling the volatility and jumps processes of daily stock returns. We first provide a computational framework for the univariate stochastic volatility model with Poisson-driven jumps that offers a…

This work contains the mathematical exploration of a few prototypical games in which central concepts from statistics and probability theory naturally emerge. The first two kinds of games are termed Fisher and Bayesian games, which are…

We construct a diffusion approximation of a repeated game in which agents make bets on outcomes of i.i.d. random vectors and their strategies are close to an asymptotically optimal strategy. This model can be interpreted as trading in an…

The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…

Many-body dynamical models in which Boltzmann statistics can be derived directly from the underlying dynamical laws without invoking the fundamental postulates of statistical mechanics are scarce. Interestingly, one such model is found in…

We discuss the Bayesian emulation approach to computational solution of multi-step portfolio studies in financial time series. "Bayesian emulation for decisions" involves mapping the technical structure of a decision analysis problem to…

This paper presents an in-depth statistical analysis of an experiment designed to measure the extent to which players in a simple game behave according to a popular behavioral economic model. The p-beauty contest is a multi-player number…

This paper studies a two-person trading game in continuous time that generalizes Garivaltis (2018) to allow for stock prices that both jump and diffuse. Analogous to Bell and Cover (1988) in discrete time, the players start by choosing fair…

We consider a large community of individuals who mix strongly and meet in pairs to bet on a coin toss. We investigate the asset distribution of the players involved in this zero-sum repeated game. Our main result is that the asset…

Game theory is the standard tool used to model strategic interactions in evolutionary biology and social science. Traditional game theory studies the equilibria of simple games. But is traditional game theory applicable if the game is…

We consider a continuous time two-armed bandit problem in which incomes are described by Poissonian processes. We develop Bayesian approach with arbitrary prior distribution. We present two versions of recursive equation for determination…

This article analyzes the behavior of a Brownian fluctuation process under a mixed strategic game setup. A variant of a compound Brownian motion has been newly proposed, which is called the Shifted Brownian Fluctuation Process to predict…