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An asymmetric St. Petersburg game with trimming

Part of: Stochastic processes Limit theorems Real functions

Published online by Cambridge University Press:  01 February 2019

Allan Gut  and
Anders Martin-Löf
Allan Gut*
Affiliation:
Uppsala University
Anders Martin-Löf*
Affiliation:
Stockholm University
*
Department of Mathematics, Uppsala University, Box 480, SE-751 06 Uppsala, Sweden. Email address: [email protected]
Department of Mathematics, Stockholm University, SE-106 91 Stockholm, Sweden. Email address: [email protected]
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Abstract

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Let Sn,n≥1, be the successive sums of the payoffs in the classical St. Petersburg game. The celebrated Feller weak law states that Sn∕(nlog2n)→ℙ1 as n→∞. In this paper we review some earlier results of ours and extend some of them as we consider an asymmetric St. Petersburg game, in which the distribution of the payoff X is given by ℙ(X=srk-1)=pqk-1,k=1,2,…, where p+q=1 and s,r>0. Two main results are extensions of the Feller weak law and the convergence in distribution theorem of Martin-Löf (1985). Moreover, it is well known that almost-sure convergence fails, though Csörgő and Simons (1996) showed that almost-sure convergence holds for trimmed sums and also for sums trimmed by an arbitrary fixed number of maxima. In view of the discreteness of the distribution we focus on `max-trimmed sums', that is, on the sums trimmed by the random number of observations that are equal to the largest one, and prove limit theorems for simply trimmed sums, for max-trimmed sums, as well as for the `total maximum'. Analogues with respect to the random number of summands equal to the minimum are also obtained and, finally, for joint trimming.

Keywords

St. Petersburg gamesums of independent and identically distributed random variablesFeller's weak law of large numbersconvergence along subsequencesconvergence in distributiontrimmed sum

MSC classification

Primary: 60F05: Central limit and other weak theorems 60G50: Sums of independent random variables; random walks
Secondary: 26A12: Rate of growth of functions, orders of infinity, slowly varying functions 60F15: Strong theorems
Type
Original Article
Information
Advances in Applied Probability , Volume 50 , Issue A: Branching and Applied Probability , December 2018 , pp. 115 - 129
Copyright
Copyright © Applied Probability Trust 2018 

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