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Mean reversal for stochastic hybrid systems

✍ Scribed by Andrzej Korzeniowski

Publisher: Elsevier
Year: 2008
Tongue: English
Weight: 286 KB
Volume: 2
Category: Article
ISSN: 1751-570X
DOI: 10.1016/j.nahs.2006.09.005

No coin nor oath required. For personal study only.

✦ Synopsis

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.

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