Stochastic control of two-parameter processes application:the two-armed bandit problem

DOI10.1080/17442508708833476zbMath0643.60040OpenAlexW2079671424MaRDI QIDQ3785700

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Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833476

zbMATH Keywords

two-armed bandit problemrandom measureSnell envelopeoptional increasing pathtwo-parameter processcharacterization in terms of stopping times

Mathematics Subject Classification ID

Random fields (60G60) Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (7)

The system of quasi-variational inequalities attached to the two-armed bandit problem ⋮ On stopping points in the plane that lie on a unique optional increasing path ⋮ Optimal switching for two-parameter stochastic processes ⋮ A Fatou equation for a two-parameter stochastic process ⋮ Baxter-Chacon topology and optimality for multivariate stopping of two-parameter stochastic processes ⋮ An example of optimal switching between a wiener process and a deterministic motion with a non-zero switching cost ⋮ The set-indexed bandit problem.

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