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Random walk analysis in antagonistic stochastic games. (English) Zbl 1151.91330

Summary: 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.

MSC:

91A10 Noncooperative games
91A05 2-person games
91A60 Probabilistic games; gambling
82B41 Random walks, random surfaces, lattice animals, etc. in equilibrium statistical mechanics
60G51 Processes with independent increments; Lévy processes
60G55 Point processes (e.g., Poisson, Cox, Hawkes processes)
60G57 Random measures
60K05 Renewal theory
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