Abstract
This paper argues that the requirement of measurability (imposed on trading strategies) is indispensable in continuous-time game-theoretic probability. The necessity of the requirement of measurability in measure theory is demonstrated by results such as the Banach–Tarski paradox and is inherited by measure-theoretic probability. The situation in game-theoretic probability turns out to be somewhat similar in that dropping the requirement of measurability allows a trader in a financial security with a non-trivial price path to become infinitely rich while risking only one monetary unit.
Original language | English |
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Pages (from-to) | 719–739 |
Number of pages | 21 |
Journal | Finance and Stochastics |
Volume | 21 |
Issue number | 3 |
Early online date | 7 Jun 2017 |
DOIs | |
Publication status | Published - Jul 2017 |
Keywords
- Axiom of Choice
- Continuous time
- Game-theoretic probability
- Incomplete markets
- Measurability