A class of non homogeneous self interacting random processes with applications to learning in games and vertex-reinforced random walks

Benaim, Michel; Raimond, Olivier

A class of non homogeneous self interacting random processes with applications to learning in games and vertex-reinforced random walks

Authors

Description

Using an approximation by a set-valued dynamical system, this paper studies a class of non Markovian and non homogeneous stochastic processes on a finite state space. It provides an unified approach to simulated annealing type processes. It permits to study new models of vertex reinforced random walks and new models of learning in games including Markovian fictitious play.