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http://dx.doi.org/10.7465/jkdi.2016.27.5.1241

Parrondo effect in correlated random walks with general jumps  

Lee, Jiyeon (Department of Statistics, Yeungnam University)
Publication Information
Journal of the Korean Data and Information Science Society / v.27, no.5, 2016 , pp. 1241-1251 More about this Journal
Abstract
We consider a correlated discrete-time random walk in which the current jump size depends on the previous jump size and a noncorrelated discrete-time random walk where the jump size is determined independently. By using the strong law of large numbers of Markov chains we derive the formula for the asymptotic means of the random mixture and the periodic pattern of these two random walks and then we show that there exists Parrondo's paradox where each random walk has mean 0 but their random mixture and periodic pattern have negative or positive means. We describe the parameter sets at which Parrondo's paradox holds in each case.
Keywords
Asymptotic mean; correlated random walks; jump size; Markov chains; Parrondo's paradox; stationary distributions;
Citations & Related Records
Times Cited By KSCI : 5  (Citation Analysis)
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