How fast is the bandit?

Research paper by Damien Lamberton, Gilles Pagès

Indexed on: 17 Oct '05Published on: 17 Oct '05Published in: Mathematics - Probability


In this paper we investigate the rate of convergence of the so-called two-armed bandit algorithm in a financial context of asset allocation. The behaviour of the algorithm turns out to be highly non-standard: no CLT whatever the time scale, possible existence of two rate regimes.