2005/10/18 by Damien Lamberton, Gilles Pagès, Lamberton, Damien +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #68T05 #91B32 #91E40 #93C40 #FOS: Mathematics #Probability (math.PR) #Probability and Risk Models #Statistical Methods and Inference #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.math/0510384
openalex publication_date 2005/10/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study a two armed-bandit algorithm with penalty. We show the convergence of the algorithm and establish the rate of convergence. For some choices of the parameters, we obtain a central limit theorem in which the limit distribution is characterized as the unique stationary distribution of a discontinuous Markov process.