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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- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
- Miller, Robert A, 1984. "Job Matching and Occupational Choice," Journal of Political Economy, University of Chicago Press, vol. 92(6), pages 1086-1120, December.
- Bikhchandani, Sushil & Segal, Uzi & Sharma, Sunil, 1992.
"Stochastic dominance under Bayesian learning,"
Journal of Economic Theory,
Elsevier, vol. 56(2), pages 352-377, April.
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"Optimal Search with Learning,"
UCLA Economics Working Papers
580, UCLA Department of Economics.
- Rothschild, Michael, 1974. "A two-armed bandit theory of market pricing," Journal of Economic Theory, Elsevier, vol. 9(2), pages 185-202, October.
- Fishman, A., 1988.
"Stochastic Dominance In Multi Sampling Environments,"
30-88, Tel Aviv.
- Fishman, Arthur, 1990. "Stochastic dominance in multi sampling environments," Journal of Economic Theory, Elsevier, vol. 51(1), pages 77-91, June.
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