Mean reversal for stochastic hybrid systems

被引：1
|
作者：
Korzeniowski, Andrzej [1 ]
机构：
[1] Univ Texas Arlington, Dept Math, Arlington, TX 76019 USA
来源：
NONLINEAR ANALYSIS-HYBRID SYSTEMS | 2008年 / 2卷 / 02期
关键词：
Hybrid Markov chain; Stationary distribution; Randomization; Mean reversal;
D O I：
10.1016/j.nahs.2006.09.005
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
Consider two discrete time Markov chains on a finite state space with +/- 1 win or lose payoff subject to transition between the states. We introduce a class of processes whose cumulative expected payoffs are decreasing in time but, whenever the processes are chosen at random by flipping a fair coin, the expected payoff for the randomized process becomes increasing in time. The seemingly counterintuitive long time run mean reversal generalizes the idea of combining two losing games into a winning one, known as Parrondo's Paradox. (c) 2007 Elsevier Ltd. All rights reserved.
引用
收藏
页码：613 / 625
页数：13
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