Pooling strategies for St Petersburg gamblers
Csörgö, Sandor ; Simons, Gordon
Bernoulli, Tome 12 (2006) no. 2, p. 971-1002 / Harvested from Project Euclid
Peter offers to play exactly one St Petersburg game with each of [math] players, Paul [math] , [math] , Paul [math] , whose conceivable pooling strategies are described by all possible probability distributions [math] . Comparing infinite expectations, we characterize among all [math] those admissible strategies for which the pooled winnings, each distributed as [math] , yield a finite added value for each and every one of Paul [math] , [math] , Paul [math] in comparison with their individual winnings [math] , even though their total winnings [math] is the same. We show that the added value of an admissible [math] is just its entropy [math] , and we determine the best admissible strategy [math] . Moreover, for every [math] and [math] we construct semistable approximations to [math] . We show in particular that [math] has a proper semistable asymptotic distribution as [math] along the entire sequence of natural numbers whenever [math] for a sequence [math] of admissible strategies, which is in sharp contrast to Peter offers to play exactly one St Petersburg game with each of [math] players, Paul [math] , ..., Paul [math] , whose conceivable pooling strategies are described by all possible probability distributions [math] . Comparing infinite expectations, we characterize among all [math] those admissible strategies for which the pooled winnings, each distributed as [math] , yield a finite added value for each and every one of Paul [math] , ..., Paul [math] in comparison with their individual winnings [math] , even though their total winnings [math] is the same. We show that the added value of an admissible [math] is just its entropy [math] , and we determine the best admissible strategy [math] . Moreover, for every [math] and [math] we construct semistable approximations to [math] . We show in particular that [math] has a proper semistable asymptotic distribution as [math] along the entire sequence of natural numbers whenever [math] for a sequence [math] of admissible strategies, which is in sharp contrast to [math] , and the rate of convergence is very fast for [math] . , and the rate of convergence is very fast for [math] .
Publié le : 2006-12-14
Classification:  added value,  asymptotic distributions,  best admissible pooling strategies,  comparison of infinite expectations,  several players,  St~Petersburg games
@article{1165269147,
     author = {Cs\"org\"o, Sandor and Simons, Gordon},
     title = {Pooling strategies for St Petersburg gamblers},
     journal = {Bernoulli},
     volume = {12},
     number = {2},
     year = {2006},
     pages = { 971-1002},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1165269147}
}
Csörgö, Sandor; Simons, Gordon. Pooling strategies for St Petersburg gamblers. Bernoulli, Tome 12 (2006) no. 2, pp.  971-1002. http://gdmltest.u-ga.fr/item/1165269147/