Randomization in the two-armed bandit problem

DOI10.1214/AOP/1176990946zbMath0713.60054OpenAlexW1966352542MaRDI QIDQ750006

Robert C. Dalang

Publication date: 1990

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176990946

zbMATH Keywords

randomizationexistence of optimal solutionscontinuous-time two-armed bandit

Mathematics Subject Classification ID

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

Related Items (4)

Randomization in survival analysis ⋮ Sensitivity of the gittins index in the contiuous time two-armed bandit problem ⋮ Baxter-Chacon topology and optimality for multivariate stopping of two-parameter stochastic processes ⋮ The set-indexed bandit problem.

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