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.

Reference

A translation of Bernoulli's original presentation is found in:

~ ~ ~ ~ ~ ~ ~ ~ ~ ~

• Bernoulli, Daniel: 1738, "Exposition of a New Theory on the Measurement of Risk", Econometrica vol 22 (1954), pp23-36.