Bandit problems with lévy processes

Asaf Cohen, Eilon Solan

Research output: Contribution to journalArticlepeer-review


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 Lévy 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.

Original languageEnglish
Pages (from-to)92-107
Number of pages16
JournalMathematics of Operations Research
Issue number1
StatePublished - Feb 2013


  • Cut-off strategies
  • Lévy processes
  • Two-armed bandit

All Science Journal Classification (ASJC) codes

  • Mathematics(all)
  • Computer Science Applications
  • Management Science and Operations Research


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