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An Extension of the Kolmogorov–Feller Weak Law of Large Numbers with an Application to the St. Petersburg Game

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Abstract

The Kolmogorov–Feller weak law of large numbers for i.i.d. random variables without finite mean is extended to a larger class of distributions, requiring regularly varying normalizing sequences. As an application we show that the weak law of large numbers for the St. Petersburg game is an immediate consequence of our result.

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Authors and Affiliations

  1. Department of Mathematics, Uppsala University, Box 480, SE-75106, Uppsala, Sweden

    A. Gut

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  1. A. Gut
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Gut, A. An Extension of the Kolmogorov–Feller Weak Law of Large Numbers with an Application to the St. Petersburg Game. Journal of Theoretical Probability 17, 769–779 (2004). https://doi.org/10.1023/B:JOTP.0000040299.15416.0c

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  • DOI: https://doi.org/10.1023/B:JOTP.0000040299.15416.0c

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