An exact bandit model for the risk-volatility tradeoff

DOI10.3934/JDG.2024011MaRDI QIDQ6643162

M.-O. Hongler, Renaud Rivier

Publication date: 26 November 2024

Published in: Journal of Dynamics and Games (Search for Journal in Brave)

zbMATH Keywords

diffusion processesmean preserving spreadsequential stochastic optimizationcontinuous time multi-armed banditsnon-Gaussian evolutions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Cites Work

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• On the likelihood that one unkrown probability exeeds another in view of the evidence of two samples.
• Restless bandits, partial conservation laws and indexability
• Stochastic control of two-parameter processes application:the two-armed bandit problem
• Bandit Algorithms
• Markov functions

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