English

The dimension of the St. Petersburg game

Probability 2014-09-11 v1

Abstract

Let SnS_n be the total gain in nn repeated St.\ Petersburg games. It is known that n1(Snnlog2n)n^{-1}(S_n-n\log_2n) converges in distribution to a random element Y(t)Y(t) along subsequences of the form k(n)=2p(n)t(n)k(n)=2^{p(n)}t(n) with p(n)=log2k(n)p(n)=\lceil\log_2k(n)\rceil\to\infty and t(n)t[12,1]t(n)\to t\in[\frac12,1]. We determine the Hausdorff and box-counting dimension of the range and the graph for almost all sample paths of the stochastic process {Y(t)}t[1/2,1]\{Y(t)\}_{t\in[1/2,1]}. The results are compared to the fractal dimension of the corresponding limiting objects when gains are given by a deterministic sequence initiated by Hugo Steinhaus.

Keywords

Cite

@article{arxiv.1305.5697,
  title  = {The dimension of the St. Petersburg game},
  author = {Peter Kern and Lina Wedrich},
  journal= {arXiv preprint arXiv:1305.5697},
  year   = {2014}
}