Erdos-Feller-Kolmogorov-Petrowsky law of the iterated logarithm for self-normalized martingales: a game-theoretic approach

News
May 4, 2018. Accepted by AOP

Title
Erdos-Feller-Kolmogorov-Petrowsky law of the iterated logarithm for self-normalized martingales: a game-theoretic approach
(with T. Sasai and A. Takemura)

Type
Full paper

Journal
Annals of Probability,
to appear.

Abstract
We prove an Erdos-Feller-Kolmogorov-Petrowsky law of the iterated logarithm for self-normalized martingales. Our proof is given in the framework of the game-theoretic probability of Shafer and Vovk. As many other game-theoretic proofs, our proof is self-contained and explicit.

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arXiv