Keller, Godfrey; Rady, Sven - 2009 - This version: April 8, 2009
according to a Poisson process. Its intensity is either high or low, and unknown to the players. We consider Markov perfect … experimentation with two-armed bandits where
the risky arm distributes lump-sum payoffs according to a Poisson process. Its
intensity … until another player takes
over.
Keywords: Strategic Experimentation, Two-Armed Bandit, Poisson Process,
Bayesian Learning …