A common value experimentation with multiarmed bandits

DOI10.1155/2018/4791590MaRDI QIDQ1720971zbMATH OpenOpenAlexFDO

Authors Xiujuan Gao, Hao Liang, Tong Wang

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2018/4791590

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic games; gambling (91A60) Experimental studies (91A90) Stochastic stability in control theory (93E15)

Review text

Summary: We study a value common experimentation with multiarmed bandits and give an application about the experimentation. The second derivative of value functions at cutoffs is investigated when an agent switches action with multiarmed bandits. If consumers have identical preference which is unknown and purchase products from only two sellers among multiple sellers, we obtain the necessary and sufficient conditions about the common experimentation. The Markov perfect equilibrium and the socially effective allocation in \(K\)-armed markets are discussed.

Recommendations

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Cited in

(2)

• A stochastic differential equation driven by Poisson random measure and its application in a duopoly market
• Common value experimentation

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