# A Central Limit Theorem, Loss Aversion and Multi-Armed Bandits

@article{Chen2021ACL, title={A Central Limit Theorem, Loss Aversion and Multi-Armed Bandits}, author={Zengjing Chen and Larry G. Epstein and Guodong Zhang}, journal={ArXiv}, year={2021}, volume={abs/2106.05472} }

This paper establishes a central limit theorem under the assumption that conditional variances can vary in a largely unstructured history-dependent way across experiments subject only to the restriction that they lie in a fixed interval. Limits take a novel and tractable form, and are expressed in terms of oscillating Brownian motion. A second contribution is application of this result to a class of multi-armed bandit problems where the decision-maker is loss averse.

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