Damien Lamberton, Gilles Pagès
Published 2005-10-17Version 1
In this paper we investigate the rate of convergence of the so-called two-armed bandit algorithm in a financial context of asset allocation. The behaviour of the algorithm turns out to be highly non-standard: no CLT whatever the time scale, possible existence of two rate regimes.
When can the two-armed bandit algorithm be trusted?
A stochastic SIR model on a graph with epidemiological and population dynamics occurring over the same time scale
Quasi-Stationary Distributions and Resilience: What to get from a sample?
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