Allison mixture and the two-envelope problem.

In the present study, we have investigated the Allison mixture, a variant of the Parrondo's games where random mixing of two random sequences creates autocorrelation. We have obtained the autocorrelation function and mutual entropy of two elements. Our analysis shows that the mutual information is nonzero even if two distributions have identical average values. We have also considered the two-envelope problem and solved for its exact probability distribution.