Dimension results related to the St. Petersburg game

Let Sn be the total gain in n repeated St. Petersburg games. It is known that n−1(Sn − n log2 n) converges in distribution along certain geometrically increasing subsequences and its possible limiting random variables can be parametrized as Y (t) with t ∈ [1/2, 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]. 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.

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Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).