Longest runs in coin tossing

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

simulations; finance; coin tossing; roulette; maximum drawdown; exchange rate models; longest runs; almost sure lower and upper bounds

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62E15: Exact distribution theory in statistics

60E99: Distribution theory

60F99: Limit theorems in probability theory

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Cites Work

• 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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