St. Petersburg paradox

In probability theory and decision theory the St. Petersburg paradox is a paradox that exhibits a random variable whose value is probably very small, and yet has an infinite expected value. This poses a situation where decision theory may superficially appear to recommend a course of action that no rational person would be willing to take. That appearance evaporates when utilities are taken into account.

External link

For a fuller treatment see:

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• St Petersburg Paradox - Stanford Encyclopaedia of Philosophy