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Dynamic stochastic dominance in bandit decision problems

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.
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https://hal-sciencespo.archives-ouvertes.fr/hal-03567790
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Submitted on : Saturday, February 12, 2022 - 7:18:33 AM
Last modification on : Sunday, February 13, 2022 - 3:42:44 AM

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Thierry Magnac, Jean-Marc Robin. Dynamic stochastic dominance in bandit decision problems. Theory and Decision, 1999. ⟨hal-03567790⟩

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