The St. Petersburg game and continued fractions

Abstract

The St. Petersburg game is a well known example of a sequence of i.i.d. random variables with infinite expectation and was considered as a paradox since no single “fair” entry fee exists. This Note shows how the sequence of continued fraction digits of a random real number makes a reasonable choice of entry fees. Moreover, known results for continued fractions can be obtained for the St. Petersburg game using exactly the same proofs and these results explain exactly how the player is favoured even with a fair entry fee (thus resolving a point made by Aaronson).