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Extreme-trimmed St. Petersburg games. (English) Zbl 1351.60033

Summary: Let \(S_n\), \(n \geq 1\), describe the successive sums of the payoffs in the classical St. Petersburg game. W. Feller’s famous weak law [Ann. Math. Stat. 16, 301–304 (1945; Zbl 0060.28701)] states that \(\frac{S_n}{n \log_2 n} \to 1\) in probability as \(n \to \infty\). However, almost sure convergence fails, more precisely, \(\limsup_{n \to \infty} \frac{S_n}{n \log_2 n} = + \infty\) a.s. and \(\liminf_{n \to \infty} \frac{S_n}{n \log_2 n} = 1\) a.s. as \(n \to \infty\). S. Csörgö and G. Simons [Stat. Probab. Lett. 26, No. 1, 65–73 (1996; Zbl 0859.60030)] have shown that almost sure convergence holds for trimmed sums, that is, for \(S_n - \max_{1 \leq k \leq n} X_k\) and, moreover, that this remains true if the sums are trimmed by an arbitrary fixed number of maximal sums. A predecessor of the present paper was devoted to sums trimmed by the random number of maximal summands. The present paper concerns analogues for the random number of summands equal to the minimum, as well as analogues for joint trimmings.

MSC:

60F15 Strong limit theorems
60F05 Central limit and other weak theorems
60G50 Sums of independent random variables; random walks
60E10 Characteristic functions; other transforms
26A12 Rate of growth of functions, orders of infinity, slowly varying functions
Full Text: DOI

References:

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