Bandit problems with Lévy processes

DOI10.1287/MOOR.1120.0564MaRDI QIDQ5169656zbMATH OpenOpenAlexFDO

Authors 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

two-armed banditsLévy processescut-off strategies

Mathematics Subject Classification ID

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

Abstract: Bandit problems model the trade-off between exploration and exploitation in various decision problems. We study two-armed bandit problems in continuous time, where the risky arm can have two types: High or Low; both types yield stochastic payoffs generated by a Levy process. We show that the optimal strategy is a cut-off strategy and we provide an explicit expression for the cut-off and for the optimal payoff.

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