Dynamic Stochastic Dominance in Bandit Decision Problems
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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|Date of creation:||1992|
|Publication status:||Published in Theory and decision, 1999, 47, pp. 267-295|
|Contact details of provider:|| Postal: 48 boulevard Jourdan - 75014 Paris|
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- Miller, Robert A, 1984. "Job Matching and Occupational Choice," Journal of Political Economy, University of Chicago Press, vol. 92(6), pages 1086-1120, December.
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- Rothschild, Michael, 1974. "A two-armed bandit theory of market pricing," Journal of Economic Theory, Elsevier, vol. 9(2), pages 185-202, October.
- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September. Full references (including those not matched with items on IDEAS)