An analysis of two modifications of the Petersburg game

DOI10.1080/17442500701840968MaRDI QIDQ3498581zbMATH OpenOpenAlexFDO

Authors Anders Martin-Löf

Publication date 15 May 2008

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.3424

zbMATH Keywords

arbritrage possibilitycost of capitalfree lunchlimites capitalPetersburg gameprofitability

Mathematics Subject Classification ID

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

Abstract: Two modifications of the Petersburg game are considered: 1. Truncation, so that the player has a finite capital at his disposal. 2. A cost of borrowing capital, so that the player has to pay interest on the capital needed. In both cases limit theorems for the total net gain are derived, so that it is easy to judge if the game is favourable or not.

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Cites work

• A limit theorem which clarifies the ‘Petersburg Paradox'
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• On the St. Petersburg Paradox

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(3)

• scientific article; zbMATH DE number 4140924 (Why is no real title available?)
• scientific article; zbMATH DE number 6318183 (Why is no real title available?)
• An asymmetric St. Petersburg game with trimming

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