EconPapers    
Economics at your fingertips  
 

Undiscounted Bandit Games

R Keller () and Sven Rady ()

Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems from Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich

Abstract: We analyze continuous-time games of strategic experimentation with two-armedbandits when there is no discounting. We show that for all specifications of priorbeliefs and payoff-generating processes that satisfy some separability condition, the unique symmetric Markov perfect equilibrium can be computed in a simple closed form involving only the expected current payoff of the risky arm and the expected full-information payoff, given current information. The separability condition holds in a variety of models that have been explored in the literature, all of which assume that the risky arm’s expected payoff per unit of time is time-invariant and actual payoffs are generated by a process with independent and stationary increments. The separability condition does not hold when the expected payoff per unit of time is subject to state-switching.

Keywords: Strategic Experimentation; Two-Armed Bandit; Markov-Perfect Equilibrium (search for similar items in EconPapers)
JEL-codes: C73 D83 (search for similar items in EconPapers)
Date: 2015-09-21
New Economics Papers: this item is included in nep-gth and nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://epub.ub.uni-muenchen.de/25311/1/520SFB.pdf (application/pdf)

Related works:
Journal Article: Undiscounted bandit games (2020) Downloads
Working Paper: Undiscounted Bandit Games (2020) Downloads
Working Paper: Undiscounted Bandit Games (2020) Downloads
Working Paper: Undiscounted Bandit Games (2019) Downloads
Working Paper: Undiscounted Bandit Games (2019) Downloads
Working Paper: UNDISCOUNTED BANDIT GAMES (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:trf:wpaper:520

Access Statistics for this paper

More papers in Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems from Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich Geschwister-Scholl-Platz 1, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Tamilla Benkelberg ().

 
Page updated 2021-01-12
Handle: RePEc:trf:wpaper:520