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Strategic Experimentation with Exponential Bandits.

Abstract:

This paper studies a game of strategic experimentation with two-armed bandits whose risky arm might yield a payoff only after some exponentially distributed random time. Because of free-riding, there is an inefficiently low level of experimentation in any equilibrium where the players use stationary Markovian strategies with posterior beliefs as the state variable. After characterizing the unique symmetric Markovian equilibrium of the game, which is in mixed strategies, we construct a variety...

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Publisher:
Department of Economics (University of Oxford)
Series:
Discussion paper series
Publication date:
2003-01-01
Language:
English
UUID:
uuid:6802ab02-0d92-4f11-8cf5-8699e25ad6a6
Local pid:
oai:economics.ouls.ox.ac.uk:13533
Deposit date:
2011-08-16

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