Dynamic stochastic dominance in bandit decision problems

Thierry Magnac and Jean-Marc Robin

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Abstract: The aim of this paper is to study the monotonicity properties with respect to the probability distribution of the state processes, of optimal decisions in bandit decision problems. Orderings of dynamic discrete projects are provided by extending the notion of stochastic dominance to stochastic processes.

Keywords: Stochastic dynamic programing; Multi-armed bandit problems; Stochastic dominance (search for similar items in EconPapers)
Date: 1999-12
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Citations: View citations in EconPapers (3)

Published in Theory and Decision, 1999, 47 (3), pp.267-295. ⟨10.1023/A:1005142630173⟩

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Related works:
Journal Article: Dynamic stochastic dominance in bandit decision problems (1999)
Working Paper: Dynamic stochastic dominance in bandit decision problems (1999)
Working Paper: Dynamic Stochastic Dominance in Bandit Decision Problems (1992)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00359318

DOI: 10.1023/A:1005142630173

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