Randomization in the two-armed bandit problem

DOI10.1214/AOP/1176990946MaRDI QIDQ750006zbMATHOpenAlexFDO

Authors 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

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

Recommendations

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Cited in

(11)

• Baxter-Chacon topology and optimality for multivariate stopping of two-parameter stochastic processes
• A two armed bandit type problem revisited
• Randomization in survival analysis
• Sensitivity of the gittins index in the contiuous time two-armed bandit problem
• The set-indexed bandit problem.
• On ergodic two-armed bandits
• The two-armed bandit problem with continuous time in the presence of gradual and impulsive controls
• scientific article; zbMATH DE number 3911530 (Why is no real title available?)
• Some results on two-armed bandits when both projects vary
• Further contributions to the two-armed bandit problem
• An exact bandit model for the risk-volatility tradeoff

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