Parrondo-like behavior in continuous-time random walks with memory
Mathematical Physics
2011-11-30 v3 Statistical Mechanics
math.MP
Statistical Finance
Abstract
The Continuous-Time Random Walk (CTRW) formalism can be adapted to encompass stochastic processes with memory. In this article we will show how the random combination of two different unbiased CTRWs can give raise to a process with clear drift, if one of them is a CTRW with memory. If one identifies the other one as noise, the effect can be thought as a kind of stochastic resonance. The ultimate origin of this phenomenon is the same of the Parrondo's paradox in game theory
Keywords
Cite
@article{arxiv.1107.2346,
title = {Parrondo-like behavior in continuous-time random walks with memory},
author = {Miquel Montero},
journal= {arXiv preprint arXiv:1107.2346},
year = {2011}
}
Comments
8 pages, 3 figures, revtex; enlarged and revised version