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 |
|---|---|
| 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