A note on the asymptotics of the maxima for the St. Petersburg game

Toshio Nakata

Statistics & Probability Letters, 2017, vol. 129, issue C, 284-287

Abstract: In this note, we consider the maxima of payoffs for the generalized St. Petersburg game. The maxima for the original St. Petersburg game cannot be normalized to converge to a nondegenerate limit distribution. However, tuning the parameters appearing in the generalization, we show the normalized maxima converge to the Fréchet distribution.

Keywords: St. Petersburg game; Maximum of i.i.d. random variables; Fréchet distribution (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.06.010

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