Results 1  10
of
1,014
Bandit problems with Levy payoff processes,” mimeo
, 2009
"... Abstract. We study twoarmed Lévy bandits in continuoustime, which have one safe arm that yields a constant payoff s, and one risky arm that can be either of type High or Low; both types yield stochastic payoffs generated by a Lévy process. The expectation of the Lévy process when the arm is High i ..."
Abstract

Cited by 6 (0 self)
 Add to MetaCart
Abstract. We study twoarmed Lévy bandits in continuoustime, which have one safe arm that yields a constant payoff s, and one risky arm that can be either of type High or Low; both types yield stochastic payoffs generated by a Lévy process. The expectation of the Lévy process when the arm is High
The Nonstochastic Multiarmed Bandit Problem
 SIAM JOURNAL OF COMPUTING
, 2002
"... In the multiarmed bandit problem, a gambler must decide which arm of K nonidentical slot machines to play in a sequence of trials so as to maximize his reward. This classical problem has received much attention because of the simple model it provides of the tradeoff between exploration (trying out ..."
Abstract

Cited by 491 (34 self)
 Add to MetaCart
of the process generating the payoffs of the slot machines. We give a solution to the bandit problem in which an adversary, rather than a wellbehaved stochastic process, has complete control over the payoffs. In a sequence of T plays, we prove that the perround payoff of our algorithm approaches
The Evolution of Social and Economic Networks
 JOURNAL OF ECONOMIC THEORY 106, 265–295
, 2002
"... We examine the dynamic formation and stochastic evolution of networks connecting individuals. The payoff to an individual from an economic or social activity depends on the network of connections among individuals. Over time individuals form and sever links connecting themselves to other individuals ..."
Abstract

Cited by 889 (37 self)
 Add to MetaCart
We examine the dynamic formation and stochastic evolution of networks connecting individuals. The payoff to an individual from an economic or social activity depends on the network of connections among individuals. Over time individuals form and sever links connecting themselves to other
Valuing American options by simulation: A simple leastsquares approach
 Review of Financial Studies
, 2001
"... This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily applicable ..."
Abstract

Cited by 517 (9 self)
 Add to MetaCart
This article presents a simple yet powerful new approach for approximating the value of America11 options by simulation. The kcy to this approach is the use of least squares to estimate the conditional expected payoff to the optionholder from continuation. This makes this approach readily
Option pricing when underlying stock returns are discontinuous
 Journal of Financial Economics
, 1976
"... The validity of the classic BlackScholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying ..."
Abstract

Cited by 1001 (3 self)
 Add to MetaCart
The validity of the classic BlackScholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying
Fast and flexible libor model pricing: twostage Monte Carlo and onthefly payoff processing
"... The Libor market model is the standard interest rate model. Yet its application relies on Monte Carlo simulation, which is slow, especially in a flexible, productindependent model setup. This paper proposes an alternative software design of the Monte Carlo simulation to achieve fast and flexible pr ..."
Abstract
 Add to MetaCart
pricing. The design is fast because it separates the computation of forward rate paths from that of payoffs to avoid redundant calculations; it is flexible because it adapts to new types of payoff functions at runtime via onthefly compilation. The approach is arbitrarily accurate—it supports a high
Optimal payoff functions for members of collectives
 Advances in Complex Systems
"... We consider the problem of designing (perhaps massively distributed) collectives of computational processes to maximize a provided “world ” utility function. We consider this problem when the behavior of each process in the collective can be cast as striving to maximize its own payoff utility functi ..."
Abstract

Cited by 93 (40 self)
 Add to MetaCart
We consider the problem of designing (perhaps massively distributed) collectives of computational processes to maximize a provided “world ” utility function. We consider this problem when the behavior of each process in the collective can be cast as striving to maximize its own payoff utility
Gambling in a rigged casino: The adversarial multiarmed bandit problem
, 1995
"... In the multiarmed bandit problem, a gambler must decide which arm of K nonidentical slot machines to play in a sequence of trials so as to maximize his reward. This classical problem has received much attention because of the simple model it provides of the tradeoff between exploration (trying ou ..."
Abstract

Cited by 242 (8 self)
 Add to MetaCart
of the process generating the payoffs of the slot machines. We give a solution to the bandit problem in which an adversary, rather than a wellbehaved stochastic process, has complete control over the payoffs. In a sequence of T plays, we prove that the expected perround payoff of our algorithm approaches
Generalized meanpayoff and energy games
 CoRR
"... In meanpayoff games, the objective of the protagonist is to ensure that the limit average of an infinite sequence of numeric weights is nonnegative. In energy games, the objective is to ensure that the running sum of weights is always nonnegative. Generalized meanpayoff and energy games replace in ..."
Abstract

Cited by 44 (11 self)
 Add to MetaCart
In meanpayoff games, the objective of the protagonist is to ensure that the limit average of an infinite sequence of numeric weights is nonnegative. In energy games, the objective is to ensure that the running sum of weights is always nonnegative. Generalized meanpayoff and energy games replace
Evolution in Games with Randomly Disturbed Payoffs
 Journal of Economic Theory
, 2007
"... We consider a simple model of stochastic evolution in population games. In our model, each agent occasionally receives opportunities to update his choice of strategy. When such an opportunity arises, the agent selects a strategy that is currently optimal, but only after his payoffs have been randoml ..."
Abstract

Cited by 37 (13 self)
 Add to MetaCart
We consider a simple model of stochastic evolution in population games. In our model, each agent occasionally receives opportunities to update his choice of strategy. When such an opportunity arises, the agent selects a strategy that is currently optimal, but only after his payoffs have been
Results 1  10
of
1,014