Game-theoretic probability and defensive forecasting

Research output: Chapter in Book/Report/Conference proceedingConference contribution


In 2001, Vladimir Vovk and I demonstrated how game theory can replace measure theory as a foundation for classical probability theory, discrete and continuous {Probability and Finance: Its Only a Game!, Wiley 2001). In the game-theoretic framework, classical probability theorems are proven by betting strategies that make a player rich without risking bankruptcy if the theorem's prediction fails. These strategies can be specified explicitly, and so the theory has a constructive flavor that lends itself to applications in economics and statistics. Defensive forecasting is one of the most interesting of these applications. It identifies a comprehensive betting strategy, which becomes rich if the probabilities fail in a relevant way (say by being uncalibrated or having poor resolution), and it chooses probabilities to defeat this comprehensive betting strategy. The fact that this is possible gives us new insight into the very meaning of probability.

Original languageEnglish (US)
Title of host publicationProceedings of the 2007 Winter Simulation Conference, WSC
Number of pages9
StatePublished - 2007
Event2007 Winter Simulation Conference, WSC - Washington, DC, United States
Duration: Dec 9 2007Dec 12 2007

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736


Conference2007 Winter Simulation Conference, WSC
Country/TerritoryUnited States
CityWashington, DC

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Computer Science Applications


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