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How fast is the bandit?

Abstract : 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.
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Contributor : Gilles Pagès <>
Submitted on : Monday, October 17, 2005 - 3:43:45 PM
Last modification on : Monday, December 14, 2020 - 9:43:32 AM
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Damien Lamberton, Gilles Pagès. How fast is the bandit?. Stochastic Analysis and Applications, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2008, 26 (3), pp.603-623. ⟨10.1080/07362990802007202⟩. ⟨hal-00012182⟩



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