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

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

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