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

页码：613 / 625

页数：13

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