Bandit problems with Levy processes
arXiv:1407.7241
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.
arXiv admin note: text overlap with arXiv:0906.0835