The Accuracy of Merging Approximation in Generalized St. Petersburg Games

Gyula Pap ()
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Gyula Pap: University of Debrecen

Journal of Theoretical Probability, 2011, vol. 24, issue 1, 240-270

Abstract: Abstract Merging asymptotic expansions of arbitrary length are established for the distribution functions and for the probabilities of suitably centered and normalized cumulative winnings in a full sequence of generalized St. Petersburg games, extending the short expansions due to Csörgő (Acta Sci. Math. (Szeged) 73:297–331, 2007). These expansions are given in terms of suitably chosen members from the classes of subsequential semistable infinitely divisible asymptotic distribution functions and certain derivatives of these functions. The length of the expansion depends upon the tail parameter. Both uniform and nonuniform bounds are presented.

Keywords: Merging asymptotic expansions; Semistable distribution functions; St. Petersburg games; 60F05; 60E07; 60G50 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10959-009-0247-1

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