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An analysis of two modifications of the Petersburg game
Stockholm University, Faculty of Science, Department of Mathematics.
2008 (English)In: STOCHASTICS, ISSN 1744-2508, Vol. 80, no 03-feb, p. 175-179Article in journal (Refereed) Published
Abstract [en]

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, p. 175-179
Keywords [en]
Petersburg game, free lunch, arbitrage possibility, limited capital, cost of capital, profitability
National Category
Mathematics
Identifiers
URN: urn:nbn:se:su:diva-57687DOI: 10.1080/17442500701840968ISI: 000207628100007OAI: oai:DiVA.org:su-57687DiVA, id: diva2:417231
Note
authorCount :1Available from: 2011-05-16 Created: 2011-05-16 Last updated: 2022-02-24Bibliographically approved

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Martin-Löf, Anders

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