Longest runs in coin tossing

DOI10.1016/0167-6687(94)90790-0zbMath0821.62008OpenAlexW2013998895MaRDI QIDQ1892987

Paul Embrechts, Klemens Binswanger

Publication date: 3 July 1995

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(94)90790-0

zbMATH Keywords

simulationsfinancecoin tossingroulettemaximum drawdownexchange rate modelslongest runsalmost sure lower and upper bounds

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Exact distribution theory in statistics (62E15) Distribution theory (60E99) Limit theorems in probability theory (60F99)

Related Items (9)

Weak runs in sequences of binary trials ⋮ On the longest block in Lüroth expansion ⋮ On one-sided strong laws for large increments of sums ⋮ Limiting behaviors for longest consecutive switches in an IID Bernoulli sequence ⋮ Modeling claim exceedances over thresholds. ⋮ On runs of length exceeding a threshold: normal approximation ⋮ On the distribution of the number of success runs in a continuous time Markov chain ⋮ On success runs of length exceeded a threshold ⋮ A generalization of the Erdős-Rényi limit theorem and the corresponding multifractal analysis

Cites Work

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• Three problems on the lengths of increasing runs
• An Erdős-Rényi law with shifts
• An extreme value theory for long head runs
• Maximal length of common words among random letter sequences
• The limit distribution of the length of the longest head-run
• On the Erdös-Rényi theorem for random fields and sequences and its relationships with the theory of runs and spacings
• Long repetitive patterns in random sequences
• On the longest run of coincidences
• On the Length of the Longest Head-Run for a Markov Chain with Two States

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