Let (Xi", Yi) be a sequence of i.i.cl. random vectors where {Xi} are gains and {Yi} are indicators of successes in repetitions of a game of heads and tails. Put, S0 = 0, Sk = X1+ ⋯ + Xk, and let I{.} denote the indicator function of the event in brackets. Then MN = Max0≦l<m≦N (Sm - Sl+1) I{Yl+1N = ⋯ = Ym = 1} is the maximal gain over sequences of successes without interruptions ("head runs"). We derive necessary and sufficient conditions for strong laws of large numbers for MN and find rates of convergence in these laws.

Original languageEnglish
Pages (from-to)165-181
Number of pages17
JournalStudia Scientiarum Mathematicarum Hungarica
Volume34
Issue number1-3
StatePublished - 1998

    Scopus subject areas

  • Mathematics(all)

    Research areas

  • Convergence rate, Head run, Increment of random walk, Large deviations, Strong law of large numbers

ID: 75020618