Gittins indices in the dynamic allocation problem for diffusion processes

DOI10.1214/aop/1176993381zbMath0536.60058MaRDI QIDQ792001

Ioannis Karatzas

Publication date: 1984

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993381

zbMATH Keywords

stochastic control problem; allocation policy; Gittins indices

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

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