PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

On the Rate of Convergence of the St. Petersburg Game.
Laszlo Gyorfi and Péter Kevei
Periodica Mathematica Hungarica Volume 62, DOI: 10.1007/s10998-011-5013-3, Number 1, pp. 13-37, 2011.

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.

EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
ID Code:7078
Deposited By:Andras Gyorgy
Deposited On:17 March 2011