On the rate of convergence of the St. Petersburg game |
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| Authors: | László Györfi Péter Kevei |
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| Affiliation: | 1.Department of Computer Science and Information Theory,Budapest University of Technology and Economics,Budapest,Hungary;2.Analysis and Stochastics Research Group,Hungarian Academy of Sciences,Szeged,Hungary;3.Centro de Investigación en Matemáticas,Callejón Jalisco S/N,Guanajuato,Mexico |
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| Abstract: | We investigate the repeated and sequential portfolio St. Petersburg games. For the repeated St. Petersburg game, we show an upper bound on the tail distribution, which implies a strong law for a truncation. Moreover, we consider the problem of limit distribution. For the sequential portfolio St. Petersburg game, we obtain tight asymptotic results for the growth rate of the game. |
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