This paper studies optimal experimentation by a monopolist who faces an unknown demand curve subject to random changes, and who maximizes profits over an infinite horizon in continuous time. We show that there are two qualitatively very different regimes, determined by the discount rate and the...

We analyze a game of strategic experimentation with two-armed bandits whose risky arm might yield payoffs after exponentially distributed random times. Free-riding causes an inefficiently low level of experimentation in any equilibrium where the players use stationary Markovian strategies with...

We analyse a two-player game of strategic experimentation with two-armed bandits. Either player has to decide in continuous time whether to use a safe arm with a known pay-off or a risky arm whose expected pay-off per unit of time is initially unknown. This pay-off can be high or low and is...