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The maximal variation of a bounded martingale

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  • MERTENS, Jean-François
  • ZAMIR, Shmuel

Abstract

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  • MERTENS, Jean-François & ZAMIR, Shmuel, 1977. "The maximal variation of a bounded martingale," LIDAM Reprints CORE 309, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    • Handle: RePEc:cor:louvrp:309
    DOI: 10.1016/S0246-0203(98)80017-4
    Note: In : Israël Journal of Mathematics, 27(3-4), 252-276, 1977
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    Cited by:

    1. Abraham Neyman, 2009. "The Maximal Variation of Martingales of Probabilities and Repeated Games with Incomplete Information," Discussion Paper Series dp510, The Federmann Center for the Study of Rationality, the Hebrew University, Jerusalem.
    2. Jeffrey Ely & Alexander Frankel & Emir Kamenica, 2015. "Suspense and Surprise," Journal of Political Economy, University of Chicago Press, vol. 123(1), pages 215-260.
    3. Abraham Neyman, 2013. "The Maximal Variation of Martingales of Probabilities and Repeated Games with Incomplete Information," Journal of Theoretical Probability, Springer, vol. 26(2), pages 557-567, June.
    4. Abraham Neyman, 2012. "The value of two-person zero-sum repeated games with incomplete information and uncertain duration," International Journal of Game Theory, Springer;Game Theory Society, vol. 41(1), pages 195-207, February.
    5. Fedor Sandomirskiy, 2014. "Repeated games of incomplete information with large sets of states," International Journal of Game Theory, Springer;Game Theory Society, vol. 43(4), pages 767-789, November.
    6. Boshuizen, Frans A., 1996. "Prophet compared to gambler: additive inequalities for transforms of sequences of random variables," Statistics & Probability Letters, Elsevier, vol. 29(1), pages 23-32, August.
    7. Fedor Sandomirskiy, 2018. "On Repeated Zero-Sum Games with Incomplete Information and Asymptotically Bounded Values," Dynamic Games and Applications, Springer, vol. 8(1), pages 180-198, March.
    8. De Meyer, Bernard, 2010. "Price dynamics on a stock market with asymmetric information," Games and Economic Behavior, Elsevier, vol. 69(1), pages 42-71, May.

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