On Gittins' index theorem in continuous time

DOI10.1016/j.spa.2007.01.006zbMath1120.93055OpenAlexW1980104299MaRDI QIDQ2642040

Peter Bank, Christian Küchler

Publication date: 20 August 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.01.006

zbMATH Keywords

representation theoremGittins indexmulti-armed bandits

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Random operators and equations (aspects of stochastic analysis) (60H25) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07) Financial applications of other theories (91G80)

Related Items (5)

Empirical Gittins index strategies with \(\varepsilon\)-explorations for multi-armed bandit problems ⋮ On an integral equation for the free-boundary of stochastic, irreversible investment problems ⋮ Continuous-time public good contribution under uncertainty: a stochastic control approach ⋮ Gittins' theorem under uncertainty ⋮ On a stochastic representation theorem for Meyer-measurable processes

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