Related papers: Conditional gambler's ruin problem with arbitrary …

We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and when the individual can invest in a Black-Scholes financial market;…

Recent work has considered natural variations of the multi-armed bandit problem, where the reward distribution of each arm is a special function of the time passed since its last pulling. In this direction, a simple (yet widely applicable)…

We study a simple random process in which vertices of a connected graph reach consensus through pairwise interactions. We compute outcome probabilities, which do not depend on the graph structure, and consider the expected time until a…

We study the infinite-horizon restless bandit problem with the average reward criterion, in both discrete-time and continuous-time settings. A fundamental goal is to efficiently compute policies that achieve a diminishing optimality gap as…

Consider a two-player game repeated N times. Player 1 can choose between two styles (for interpretability, offensive and defensive), whereas Player 2 uses a single fixed style. Let X N\,:= \#wins -\#losses for Player 1 after N games, and…

The Ultimatum Game is a famous sequential, two-player game intensely studied in Game Theory. A proposer can offer a certain fraction of some amount of a valuable good, for example, money. A responder can either accept, in which case the…

In this note, we investigate combinatorial games where both players move randomly (each turn, independently selecting a legal move uniformly at random). In this model, we provide closed-form expressions for the expected number of turns in a…

Let game B be Toral's cooperative Parrondo game with (one-dimensional) spatial dependence, parameterized by N (3 or more) and p_0,p_1,p_2,p_3 in [0,1], and let game A be the special case p_0=p_1=p_2=p_3=1/2. Let mu_B (resp., mu_(1/2,1/2))…

We introduce a deterministic analogue of Markov chains that we call the hunger game. Like rotor-routing, the hunger game deterministically mimics the behavior of both recurrent Markov chains and absorbing Markov chains. In the case of…

In Robbins' problem of minimizing the expected rank, a finite sequence of $n$ independent, identically distributed random variables are observed sequentially and the objective is to stop at such a time that the expected rank of the selected…

We analyze the Gambler's problem, a simple reinforcement learning problem where the gambler has the chance to double or lose the bets until the target is reached. This is an early example introduced in the reinforcement learning textbook by…

Motivated by a problem in the theory of randomized search heuristics, we give a very precise analysis for the coupon collector problem where the collector starts with a random set of coupons (chosen uniformly from all sets). We show that…

Game theory has been widely applied to many areas including economics, biology and social sciences. However, it is still challenging to quantify the global stability and global dynamics of the game theory. We developed a landscape and flux…

We apply the generalized conditional gradient algorithm to potential mean field games and we show its well-posedeness. It turns out that this method can be interpreted as a learning method called fictitious play. More precisely, each step…

We present a quantum implementation of Parrondo's game with randomly switched strategies using 1) a quantum walk as a source of ``randomness'' and 2) a completely positive (CP) map as a randomized evolution. The game exhibits the same…

In "Recognizing the Maximum of a Sequence", Gilbert and Mosteller analyze a full information game where n measurements from an uniform distribution are drawn and a player (knowing n) must decide at each draw whether or not to choose that…

In all existing quantum walk models, the assumption about a pre-existing fixed background causal structure is always made and has been taken for granted. Nevertheless, in this work we will get rid of this tacit assumption especially by…

In this paper, we obtain an asymptotic formula for the persistence probability in the positive real line of a random polynomial arising from evolutionary game theory. It corresponds to the probability that a multi-player two-strategy random…

In this paper we consider limit theorems, symmetry of distribution, and absorption problems for two types of one-dimensional quantum random walks determined by 2 times 2 unitary matrices using our PQRS method. The one type was introduced by…

In general, Nash equilibria in normal-form games may require players to play (probabilistically) mixed strategies. We define a measure of the complexity of finite probability distributions and study the complexity required to play Nash…