Bandit Problems with Lévy Processes

DOI10.1287/moor.1120.0564zbMath1304.60048arXiv1407.7241OpenAlexW2111787450MaRDI QIDQ5169656

Asaf Cohen, Eilon Solan

Publication date: 11 July 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.7241

zbMATH Keywords

Lévy processestwo-armed banditscut-off strategies

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (7)

Common value experimentation ⋮ Undiscounted bandit games ⋮ A common value experimentation with multiarmed bandits ⋮ Optimal learning with non-Gaussian rewards ⋮ Two-Armed Restless Bandits with Imperfect Information: Stochastic Control and Indexability ⋮ Optimal stopping problems in Lévy models with random observations ⋮ Parameter Estimation: The Proper Way to Use Bayesian Posterior Processes with Brownian Noise

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