Strong approximation and a central limit theorem for St. Petersburg sums

DOI10.1016/J.SPA.2018.12.003MaRDI QIDQ2010488zbMATH OpenOpenAlexFDO

Authors István Berkes

Publication date 27 November 2019

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL http://openlib.tugraz.at/592fd72f8bb4f

zbMATH Keywords

central limit theoremstrong approximationsemistable processSt. Petersburg sums

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

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Cites work

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• scientific article; zbMATH DE number 5210495 (Why is no real title available?)
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• A limit theorem which clarifies the ‘Petersburg Paradox'
• A weak invariance principle with applications to domains of attraction
• Almost sure and weak invariance principles for random variables attracted by a stable law
• Almost sure invariance principles when EX 1 2 =?
• Convergence to a stable distribution via order statistics
• Dimension results related to the St. Petersburg game
• Note on the Law of Large Numbers and "Fair" Games
• Strong approximation of the St. Petersburg game
• Tail probabilities of St. Petersburg sums, trimmed sums, and their limit
• The accuracy of merging approximation in generalized St. Petersburg games

Cited in

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• The world of random variables without finite moments of all orders: from the Saint Petersburg paradox to Lévy processes
• Asymptotic behavior of the generalized St. Petersburg sum conditioned on its maximum

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