Bandit problems with lévy processes

Asaf Cohen; Eilon Solan

doi:10.1287/moor.1120.0564

Bandit problems with lévy processes

Asaf Cohen, Eilon Solan

School of Mathematical Sciences

Tel Aviv University

Research output: Contribution to journal › Article › peer-review

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 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 language	English
Pages (from-to)	92-107
Number of pages	16
Journal	Mathematics of Operations Research
Volume	38
Issue number	1
DOIs	https://doi.org/10.1287/moor.1120.0564
State	Published - 1 Feb 2013

Keywords

Cut-off strategies
Lévy processes
Two-armed bandit

All Science Journal Classification (ASJC) codes

General Mathematics
Computer Science Applications
Management Science and Operations Research

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10.1287/moor.1120.0564

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Bandit problems with lévy processes

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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