Abstract
Motivated by spatial problems of allocations, we give a proof of the existence of an optimal solution to a set-indexed formulation of the bandit problem. The proof is based on a compactization of collections of fuzzy stopping sets and fuzzy optional increasing paths, and a construction of set-indexed integrals.
| Original language | American English |
|---|---|
| Pages (from-to) | 127-142 |
| Journal | Stochastic Processes and their Applications |
| Volume | 101 |
| State | Published - 2002 |