A two armed bandit type problem revisited
ESAIM: Probability and Statistics, Tome 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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     author = {Pag\`es, Gilles},
     title = {A two armed bandit type problem revisited},
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Pagès, Gilles. A two armed bandit type problem revisited. ESAIM: Probability and Statistics, Tome 9 (2005), pp. 277-282. doi: 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. | Zbl | Numdam

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

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