Tail probabilities of St. Petersburg sums, trimmed sums, and their limit

DOI10.1007/s10959-016-0677-5zbMath1387.60043arXiv1507.02846OpenAlexW2963396574WikidataQ64023147 ScholiaQ64023147MaRDI QIDQ2412518

László Györfi, István Berkes, Péter Kevei

Publication date: 23 October 2017

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.02846

zbMATH Keywords

subexponential distributionmerging theoremsemistable lawSt. Petersburg gametail asymptotictrimmed sum

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50) Probabilistic games; gambling (91A60)

Related Items

Strong approximation of the St. Petersburg game ⋮ A note on product-convolution for generalized subexponential distributions ⋮ Tails of higher-order moments of sums with heavy-tailed increments and application to the Haezendonck-Goovaerts risk measure ⋮ Regularly log-periodic functions and some applications ⋮ Darling-Kac theorem for renewal shifts in the absence of regular variation ⋮ Strong approximation and a central limit theorem for St. Petersburg sums ⋮ Implicit renewal theory in the arithmetic case ⋮ An asymmetric St. Petersburg game with trimming

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