Game-theoretic probability and its applications

  • Glenn Shafer | Rutgers Business School

The game-theoretic framework, introduced by Vovk and myself in 2001 (www.probabilityandfinance.com), uses game theory instead of measure theory as a mathematical framework for probability. Classical theorems are proven by betting strategies that multiply a player’s stake by a large factor if the theorem’s prediction fails. In this talk, I will discuss the basic idea of game-theoretic probability and two important applications:

  1. Defensive forecasting, (2) the game-theoretic interpretation of Bayesian and Dempster-Shafer inference.

Speaker Details

Glenn Shafer is Board of Governors Professor at the Rutgers Business School–Newark and New Brunswick. He is also Professor in the Computer Learning Research Centre, Royal Holloway College, University of London. Glenn works with doctoral students at both Rutgers and Royal Holloway. See the description of his work with doctoral students for details and links to information on applying to the doctoral programs at the two institutions.Glenn also serves as faculty director of the doctoral program at the Rutgers Business School. This program, which has many majors, trains students for careers as business school professors – an opportunity often overlooked by academically oriented students completing bachelor’s and master’s degrees in the mathematical and social sciences; see the program’s frequently asked questions.Glenn’s collaboration with colleagues at Royal Holloway has produced two books in recent years, Probability and Finance: It’s Only a Game, with Vladimir Vovk, and Algorithmic Learning Theory, with Vladimir Vovk and Alex Gammerman.

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