Stochastic control of two-parameter processes application:the two-armed bandit problem

DOI10.1080/17442508708833476MaRDI QIDQ3785700zbMATH OpenOpenAlexFDO

Authors

Publication date 1987

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508708833476

zbMATH Keywords

characterization in terms of stopping timesoptional increasing pathrandom measureSnell envelopetwo-armed bandit problemtwo-parameter process

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stopping times; optimal stopping problems; gambling theory (60G40) Random fields (60G60)

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Cites work

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• Two parameter optimal stopping and bi-Markov processes

Cited in

(12)

• Optimal switching for two-parameter stochastic processes
• The set-indexed bandit problem.
• scientific article; zbMATH DE number 4064879 (Why is no real title available?)
• On stopping points in the plane that lie on a unique optional increasing path
• An example of optimal switching between a wiener process and a deterministic motion with a non-zero switching cost
• The system of quasi-variational inequalities attached to the two-armed bandit problem
• A Fatou equation for a two-parameter stochastic process
• Baxter-Chacon topology and optimality for multivariate stopping of two-parameter stochastic processes
• Optimality of Two-Parameter Strategies in Stochastic Control
• An exact bandit model for the risk-volatility tradeoff
• Randomization in the two-armed bandit problem
• Two-parameter optimal stopping problem with switching costs

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