Berkes, István (2017) Strong approximation of the St. Petersburg game. STATISTICS, 51 (1). pp. 3-10. ISSN 0233-1888
|
Text
Strong_approximation_of_the_St_Petersburg_game_u.pdf Download (972kB) | Preview |
Abstract
Let (Formula presented.) be i.i.d. random variables with (Formula presented.) (Formula presented.) and let (Formula presented.). The properties of the sequence (Formula presented.) have received considerable attention in the literature in connection with the St. Petersburg paradox (Bernoulli 1738). Let (Formula presented.) be a semistable Lévy process with underlying Lévy measure (Formula presented.). For a suitable version of (Formula presented.) and (Formula presented.), we prove the strong approximation (Formula presented.) a.s. This provides the first example for a strong approximation theorem for partial sums of i.i.d. sequences not belonging to the domain of attraction of the normal or stable laws. © 2016 Informa UK Limited, trading as Taylor & Francis Group.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | St. Petersburg game; SEMISTABLE LAWS; A.s. invariance principle |
| Subjects: | H Social Sciences / társadalomtudományok > HA Statistics / statisztika Q Science / természettudomány > QA Mathematics / matematika |
| SWORD Depositor: | MTMT SWORD |
| Depositing User: | MTMT SWORD |
| Date Deposited: | 17 Oct 2017 08:56 |
| Last Modified: | 17 Oct 2017 08:56 |
| URI: | http://real.mtak.hu/id/eprint/65846 |
Actions (login required)
 |
Edit Item |
