{
  "id": "1407.7241",
  "version": "v1",
  "published": "2014-07-27T14:50:43.000Z",
  "updated": "2014-07-27T14:50:43.000Z",
  "title": "Bandit problems with Levy processes",
  "authors": [
    "Asaf Cohen",
    "Eilon solan"
  ],
  "comment": "arXiv admin note: text overlap with arXiv:0906.0835",
  "journal": "Mathematics of Operations Research, Volume 38, Issue 1, February 2013, pp. 92-107",
  "categories": [
    "math.PR"
  ],
  "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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2014-07-27T14:50:43.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "levy processes",
      "types yield stochastic payoffs",
      "bandit problems model",
      "study two-armed bandit problems",
      "optimal payoff"
    ],
    "tags": [
      "journal article"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2014arXiv1407.7241C"
    }
  }
}