A two armed bandit type problem revisited
ESAIM: Probability and Statistics, Volume 9 (2005), pp. 277-282.

In Benaïm and Ben Arous (2003) is solved a multi-armed bandit problem arising in the theory of learning in games. We propose a short and elementary proof of this result based on a variant of the Kronecker lemma.

DOI: 10.1051/ps:2005017
Classification: 91A20,  91A12,  60F99
Keywords: two-armed bandit problem, Kronecker lemma, learning theory, stochastic fictitious play
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Pagès, Gilles. A two armed bandit type problem revisited. ESAIM: Probability and Statistics, Volume 9 (2005), pp. 277-282. doi : 10.1051/ps:2005017. http://www.numdam.org/articles/10.1051/ps:2005017/

[1] M. Benaïm, Dynamics of stochastic algorithms, in Séminaire de probabilités XXXIII, J. Azéma et al. Eds., Springer-Verlag, Berlin. Lect. Notes Math. 1708 (1999) 1-68. | Numdam | Zbl

[2] M. Benaïm and G. Ben Arous, A two armed bandit type problem. Game Theory 32 (2003) 3-16. | Zbl

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