Bandit problems with Levy processes

Asaf Cohen; Eilon Solan

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arXiv · 1407.7241

Bandit problems with Levy processes

Asaf Cohen·Eilon Solan

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Abstract

Bandit problems model the trade-off between exploration and exploitation in various decision problems. We study two-armed bandit problems in continuous time, where the risky arm can have two types: High or Low; both types yield stochastic payoffs generated by a Levy process. We show that the optimal strategy is a cut-off strategy and we provide an explicit expression for the cut-off and for the optimal payoff.

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BibTeX RIS

Asaf Cohen, Eilon Solan. 2014-07-27. Bandit problems with Levy processes. https://arxiv.org/abs/1407.7241

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