Random Walk Analysis in Antagonistic Stochastic Games

Abstract

This article deals with two “antagonistic random processes” that are intended to model classes of completely noncooperative games occurring in economics, engineering, natural sciences, and warfare. In terms of game theory, these processes can represent two players with opposite interests. The actions of the players are manifested by a series of strikes of random magnitudes imposed onto the opposite side and rendered at random times. Each of the assaults is aimed to inflict damage to vital areas. In contrast with some strictly antagonistic games where a game ends with one single successful hit, in the current setting, each side (player) can endure multiple strikes before perishing. Each player has a fixed cumulative threshold of tolerance which represents how much damage he can endure before succumbing. Each player will try to defeat the adversary at his earliest opportunity, and the time when one of them collapses is referred to as the “ruin time”. We predict the ruin time of each player, and the cumulative status of all related components for each player at ruin time. The actions of each player are formalized by a marked point process representing (an economic) status of each opponent at any given moment of time. Their marks are assumed to be weakly monotone, which means that each opposite side accumulates damages, but does not have the ability to recover. We render a time-sensitive analysis of a bivariate continuous time parameter process representing the status of each player at any given time and at the ruin time and obtain explicit formulas for related functionals.     

On Exit Times of a Multivariate Random Walk and Its Embedding in a Quasi Poisson Process

Abstract

We introduce and analyze a delayed renewal process  = {τ₀,τ₁,…} marked by a multivariate random walk (,) and its behavior about fixed levels to be crossed by one of the components of (,). We derive the joint distribution of first passage time τ_ρ, pre-exit time τ_ρ?1 (i.e., the instant one phase prior to the first passage time), and the respective values of (,) at τ_ρ and τ_ρ?1 in a closed form. The results obtained are then applied to a multivariate quasi Poisson process Π, forming a random walk ((Π),) embedded in Π over . Processes like these can model various phenomena including stock market and option trading.

One of the central issues in the investigation of ((Π),) is to obtain the information about Π at any moment of time in random vicinities of τ_ρ and τ_ρ?1 previously available only upon . The results offer, again, closed form functionals. Numerous examples throughout the paper illustrate introduced constructions and connect the results with real-world applications, most prominently the stock market.     

On Strategic Defense in Stochastic Networks

This paper deals with the detection and prediction of losses due to cyber attacks waged on vital networks. The accumulation of losses to a network during a series of attacks is modeled by a 2-dimensional monotone random walk process as observed by an independent delayed renewal process. The first component of the process is associated with the number of nodes (such as routers or operational sites) incapacitated by successive attacks. Each node has a weight associated with its incapacitation (such as loss of operational capacity or financial cost associated with repair), and the second component models the cumulative weight associated with the nodes lost. Each component has a fixed threshold, and crossing of a threshold by either component represents the network entering a critical condition. Results are given as joint functionals of the predicted time of the first observed threshold crossing along with the values of each component upon this time.     

Time sensitive functionals of marked Cox processes

This paper continues studies on a multivariate marked Cox process C_t observed upon some random epochs τ={τ₁,τ₂,…} initiated in [J. Math. Anal. Appl. 293 (2004) 1-13]. The goal is to connect the continuous time parameter process C_t with C_τ for which closed-form transforms were presented in that paper. This work does not only restore some or much of the information on C_t lost due to its limited observation, but it also manages to scrutinize the behavior of C_τ around the first passage time of C_τ (that takes place upon one of the observation epochs τ) within some random time intervals. Again, analytically tractable formulas for functionals of C_τ are derived.     

Functional approach to the random mean of a compound Cox process

The parametric process and counting statistics of a marked point process whose marks belong to a given subset of the mark space of a compound Cox process are derived in this paper by means of functional data analysis. They are illustrated by means of an example and simulation study with different intensity processes for the CCP. This work was partially supported by projects MTM2004-05992 of Dirección General de Investigación, and MTM2004-04230 of Plan Nacional de I+D+I, Ministerio de Ciencia y Tecnología jointly by the FEDER.     

Space-time properties of a storage process

In a recent paper, Stadje analyzed the space-time properties of some storage processes. We give a short probabilistic proof of these results. This revised version was published online in June 2006 with corrections to the Cover Date.     

Monitoring cooperative equilibria in a stochastic differential game

This paper deals with a class of equilibria which are based on the use of memory strategies in the context of continuous-time stochastic differential games. In order to get interpretable results, we will focus the study on a stochastic differential game model of the exploitation of one species of fish by two competing fisheries. We explore the possibility of defining a so-called cooperative equilibrium, which will implement a fishing agreement. In order to obtain that equilibrium, one defines a monitoring variable and an associated retaliation scheme. Depending on the value of the monitoring variable, which provides some evidence of a deviation from the agreement, the probability increases that the mode of a game will change from a cooperative to a punitive one. Both the monitoring variable and the parameters of this jump process are design elements of the cooperative equilibrium. A cooperative equilibrium designed in this way is a solution concept for a switching diffusion game. We solve that game using the sufficient conditions for a feedback equilibrium which are given by a set of coupled HJB equations. A numerical analysis, approximating the solution of the HJB equations through an associated Markov game, enables us to show that there exist cooperative equilibria which dominate the classical feedback Nash equilibrium of the original diffusion game model.This research was supported by FNRS-Switzerland, NSERC-Canada, FCAR-Quebec.     

Pricing a stochastic car value depreciation deal

This paper deals with pricing a contract under which a dealer buys back a car from a client, for a cash amount contained in a given depreciation table. The value of the car is supposed to depreciate according to a stochastic model with random repairs modeled by a Poisson process. Copyright © 2013 John Wiley & Sons, Ltd.     

Occupation times of spectrally negative Lévy processes with applications

In this paper, we compute the Laplace transform of occupation times (of the negative half-line) of spectrally negative Lévy processes. Our results are extensions of known results for standard Brownian motion and jump-diffusion processes. The results are expressed in terms of the so-called scale functions of the spectrally negative Lévy process and its Laplace exponent. Applications to insurance risk models are also presented.     

The first exit time and ruin time for a risk process with reserve-dependent income

This paper investigates the first exit time and the ruin time of a risk reserve process with reserve-dependent income under the assumption that the claims arrive as a Poisson process. We show that the Laplace transform of the distribution of the first exit time from an interval satisfies an integro-differential equation. The exact solution for the classical model and for the Embrechts–Schmidli model are derived.     

The superposition of the backward and forward processes of a renewal process

A fixed sampling point O is chosen independently of a renewal process

on the whole real line. The distances Y₁, Y₂, … from O to the renewal points of

, when they are measured either forwards or backwards in time, define a point process

. The process

is a folding over of the past of

onto its future. It is the superposition of two equilibrium renewal processes which are known to be independent only when

is a Poisson process. The joint distribution of Y₁, Y₂, …, Y_k is found. The marginal distribution of 2Y_k is shown to be the same as that of the distance from O to the k^th following point of

. The intervals of

are shown to have a stationarity property, and it is proved that if any pair of adjacent intervals of

are independent, then

is a Poisson process.     

Itô’s excursion theory and its applications

A presentation of It?’s excursion theory for general Markov processes is given, with several applications to Brownian motion and related processes.     

Sample Path Properties of a Class of Operator Stable Processes

Abstract

Let X = {X(t), t ? ?₊} be an operator stable Lévy process on ? ^d with the exponent B, where B is a diagonal matrix. In the present paper, we consider the asymptotic behavior of the first passage time out of a sphere, and of the sojourn time in a sphere. We shall also determine the exact Hausdorff measure function for the range of X over unit time interval [0, 1].     

Weak limits of random coefficient autoregressive processes and their application in ruin theory

We prove that a large class of discrete-time insurance surplus processes converge weakly to a generalized Ornstein–Uhlenbeck process, under a suitable re-normalization and when the time-step goes to 0. Motivated by ruin theory, we use this result to obtain approximations for the moments, the ultimate ruin probability and the discounted penalty function of the discrete-time process.     

Numerical solution of quasi-variational inequalities arising in stochastic game theory

We study the finite-difference approximation for the quasi-variational inequalities for a stochastic game involving discrete actions of the players and continuous and discrete payoff. We prove convergence of iterative schemes for the solution of the discretized quasi-variational inequalities, with estimates of the rate of convergence (via contraction mappings) in two particular cases. Further, we prove stability of the finite-difference schemes, and convergence of the solution of the discrete problems to the solution of the continuous problem as the discretization mesh goes to zero. We provide a direct interpretation of the discrete problems in terms of finite-state, continuous-time Markov processes.     

一类(QL)型随机微分方程解的轨道唯一性判别及其应用

考虑了一类拟左连续(QL)型随机微分方程(S.D.E.)解的轨道唯一性,应用随机分析方法获得了唯一性成立的一般判别定理,并在方程系数满足局部(或非)Lipschitz条件下给出了一些应用实例.     

Service level robustness in stochastic production planning under random machine breakdowns

In this paper, we consider a multi-period, multi-product production planning problem where the production rate and the customer service level are random variables due to machine breakdowns. In order to determine robust production plans, constraints are introduced in the stochastic capacitated lot-sizing problem to ensure that a pre-specified customer service level is met with high probability. The probability of meeting a service level is evaluated by using the first passage time theory of a Wiener process to a boundary. A two-step optimization approach is proposed to solve the developed model. In the first step, the mean-value deterministic model is solved. Then, a method is proposed in the second step to improve the probability of meeting service level. The resulting approach has the advantage of not being a scenario-based one. It is shown that substantial improvements in service level robustness are often possible with minimal increases in expected cost.     

Sufficient conditions for optimality of threat strategies in a differential game

The problem of defining threat strategies in nonzero-sum games is considered, and a definition of optimal threat strategies is proposed in the static case. This definition is then extended to differential games, and sufficient conditions for optimality of threat strategies are derived. These are then applied to a simple example. The definition proposed here is then compared with the definition of threat strategies given by Nash.     

生灭过程的Ito游程理论

当生灭过程不唯一,且附加的虚状态∞是"瞬时"且正则时,其轨道结构是异常复杂的.主要工作是利用Ito的游程理论来分析处理这种生灭过程,研究其轨道性质,并最终得到预解式.此预解式具有清楚的概率意义,能够直观地反映生灭过程的轨道结构.