An analysis of two modifications of the Petersburg game
2008 (English)In: STOCHASTICS, ISSN 1744-2508, Vol. 80, no 03-feb, 175-179 p.Article in journal (Refereed) Published
Two modifications of the Petersburg game are considered: (1) truncation, so that the player has a finite capital at his disposal and (2) a cost of borrowing capital, so that the player has to pay interest on the capital needed. In both cases, limit theorems for the total net gain are derived, so that it is easy to judge if the game is favourable or not.
Place, publisher, year, edition, pages
2008. Vol. 80, no 03-feb, 175-179 p.
Petersburg game, free lunch, arbitrage possibility, limited capital, cost of capital, profitability
IdentifiersURN: urn:nbn:se:su:diva-57687DOI: 10.1080/17442500701840968ISI: 000207628100007OAI: oai:DiVA.org:su-57687DiVA: diva2:417231
authorCount :12011-05-162011-05-162011-05-16Bibliographically approved