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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Dedicated to Endre Csáki and Pál Révész on the occasion of their 75th birthdays
The work was supported in part by the Computer and Automation Research Institute of the Hungarian Academy of Sciences and by the PASCAL2 Network of Excellence under EC grant no. 216886 and by the Hungarian Scientific Research Fund, Grant T-048360.
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Györfi, L., Kevei, P. On the rate of convergence of the St. Petersburg game. Period Math Hung 62, 13–37 (2011). https://doi.org/10.1007/s10998-011-5013-3
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DOI: https://doi.org/10.1007/s10998-011-5013-3