On a new law of large numbers (Q2548819)

We shall prove first (in \S2) the new law of large numbers for the simplest special case, that is for independent repetitions of a fair game. For this special case the theorem can be stated as follows: if the game is played \(N\) times, the maximal average gain of a player over \([C \log_2 N]\) consecutive games (\(C \geq 1,[x]\) denotes the integral part of \(x\)), tends with probability one to the limit \(\alpha\), where \(\alpha\) is the only solution in the interval \(0< \alpha \leq 1\) of the equation \[ {1 \over C}=1- \left({1+ \alpha \over 2} \right) \log_2 \left({2 \over 1+ \alpha} \right) - \left({1- \alpha \over 2} \right) \log_2 \left({2 \over 1- \alpha} \right). \] In \S3 we generalize this result to an arbitrary sequence \(\eta_n\) \((n=1,2, \ldots)\) of independent, identically distributed random variables with expectation \(0\), the common distribution of which satisfies the condition, that its moment-generating function \(\varphi (t)=E(e^{\eta_nt})\) exists in an open interval around the origin. We prove that for every \(\alpha\) in a certain interval \(0< \alpha < \alpha_0\) one has \[ P \left(\lim_{N \to + \infty} \max_{0 \leq n \leq N-[C \log N]} {\eta_{n+1}+ \eta_{n+2}+ \ldots + \eta_{n+[C \log N]} \over [C \log N]}= \alpha \right) =1, \tag{*} \] where \(C=C(\alpha)\) is defined by the equation \(e^{-(1/C)}= \min_t \varphi (t)e^{- \alpha t}\). In \S4 we discuss the special case of Gaussian random variables, in which case our result is essentially equivalent to a previous result of \textit{P. Lévy} about the Brownian movement process. In \S5 we give as an application of the result of \S3, a new proof of the theorem of \textit{P. Bártfai} on the ``stochastic geyser problem'', using the fact that the functional dependence between \(C\) and \(\alpha\) in (*) determines the distribution of the variables uniquely (Theorem 3). The result of \S2 can also be applied in probabilistic number theory; as a matter of fact it was such an application which led the first named author to raise the problem which is solved in the present paper.