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Synchronization and optimality for multi-armed bandit problems in continuous time

By Nicole El Karoui and Ioannis Karatzas


We provide a complete solution to a general, continuous-time dynamic allocation (multi-armed bandit) problem with arms that are not necessarily independent or Markovian, using notions and results from time-changes, optimal stopping, and multi-parameter martingale theory. The independence assumption is replaced by the condition (F.4) of Cairoli & Walsh. We also introduce a synchronization identity for allocation strategies, which i

Year: 1996
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