Limit distributions of generalized St. Petersburg games (Q2339568)
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English | Limit distributions of generalized St. Petersburg games |
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Limit distributions of generalized St. Petersburg games (English)
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1 April 2015
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A St. Petersburg game is a probability model with infinite expectation. It is studied in Chapter X.4 of [\textit{W. Feller}, An introduction to probability theory and its applications. I. Third edition. York-London-Sydney: John Wiley and Sons, Inc. (1968; Zbl 0155.23101)]. \textit{A. Gut} and \textit{A. Martin-Löf} [Generalized St. Petersburg games revisited. Research Report, Math. Stat., Stockholm University (2013)] obtained results including extensions of Feller's weak law of large numbers for generalized St. Petersburg games. The author extends their results and obtains limit distributions of generalized St. Petersburg games explicitly, and these limit distributions are either semi-stable or strictly semi-stable under some conditions.
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St. Petersburg game
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residue analysis
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semi-stable distribution
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