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Zbl 1199.60052
Csörgö, S.; Kevei, P.
Merging asymptotic expansions for cooperative gamblers in generalized St. Petersburg games. (English)
[J] Acta Math. Hung. 121, No. 1-2, 119-156 (2008). ISSN 0236-5294; ISSN 1588-2632/e

Merging asymptotic expansions are established for the distribution functions of suitably centered and normed linear combinations of winnings in a full sequence of generalized St. Petersburg games, where a linear combination is viewed as the share of any one of $n$ cooperative gamblers, who play with a pooling strategy. The expansions are given in terms of Fourier-Stieltjes transforms and are constructed from suitably chosen members of the classes of subsequential semistable infinitely divisible asymptotic distributions for the total winnings of the $n$ players and from their pooling strategy, where the classes themselves are determined by the two parameters of game. For all values of the tail parameter, the expansions yield best possible rates of uniform merge. Surprisingly, it turns out that for a subclass of strategies, not containing the averaging uniform strategy, the merging approximations reduce to asymptotic expansions of the usual type, derived from a proper limiting distribution. The Fourier-Stieltjes transforms are shown to be numerically invertible in general and it is also demonstrated that the merging expansions provide excellent approximations even for very small $n$.
[Ludwig Paditz (Dresden)]

MSC 2000:: *60F05 Weak limit theorems
60E07 Infinitely divisible distributions
60G40 Optimal stopping
60G50 Sums of independent random variables
91A60 Probabilistic games; gambling

Keywords: generalized St. Petersburg games; cooperative players; pooling strategies; linear combinations; asymptotic distributions; asymptotic expansions; best rates of merge

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