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arXiv:1011.4404math.PR

The time resolution of the St. Petersburg paradox

Ole Peters

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Abstract

A resolution of the St. Petersburg paradox is presented. In contrast to the standard resolution, utility is not required. Instead, the time-average performance of the lottery is computed. The final result can be phrased mathematically identically to Daniel Bernoulli's resolution, which uses logarithmic utility, but is derived using a conceptually different argument. The advantage of the time resolution is the elimination of arbitrary utility functions.

arXiv comments
20 pages, 1 figure
Journal reference
Phil. Trans. R. Soc. A, vol. 369 no. 1956 4913--4931
DOI
doi:10.1098/rsta.2011.0065
Subjects
math.PRProbability cond-mat.stat-mechStatistical Mechanics q-fin.RMRisk Management

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  1. What is ergodicity? (2016) 1 comment

    • >>> More importantly, they quote "Peters coin game" which has no results in Google whatsoever. Maybe a reference to this paper [1] ? [1] The time resolution of the St. Petersburg paradox, by Ole Peters https://arxiv.org/pdf/1011.4404.pdf

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