Strategic experimentation with Poisson bandits.

We study a game of strategic experimentation with two-armed bandits where the risky arm distributes lump-sum payoffs according to a Poisson process. Its intensity is either high or low, and unknown to the players. We consider Markov perfect equilibria with beliefs as the state variable and show that...

Full description

Bibliographic Details
Main Authors: Keller, G, Rady, S
Format: Journal article
Language:English
Published: Society for Economic Theory 2010