Asymptotic independence characterization in the two envelopes problem

Let XX be a positive random variable, and write

log2X=log2X+{log2X},\log_2 X=\lfloor\log_2 X\rfloor+\{\log_2 X\},

where log2X\lfloor\log_2 X\rfloor and {log2X}\{\log_2 X\} are respectively the whole and fractional parts of log2X\log_2 X. Let AA and Δ\Delta denote the corresponding variables in the two envelopes problem. Asymptotic independence characterization. AA and Δ\Delta are asymptotically independent if and only if the fractional and whole parts of log2X\log_2 X are asymptotically independent, with the whole part asymptotically uniformly distributed over all integers. This characterizes the proposed asymptotic-independence behavior in the two envelopes problem; the surrounding results establish partial implications involving weak convergence and total variation, but the conjectural characterization and the appropriate notions of approximation remain to be established.

Sources & referencesView supporting material

Primary source

R. D. Gill, “Anna Karenina and The Two Envelopes Problem”, arXiv:2003.04008 (2022).

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