On Gittins' index theorem in continuous time

DOI10.1016/J.SPA.2007.01.006MaRDI QIDQ2642040zbMATH OpenOpenAlexFDO

Authors 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

Gittins indexrepresentation theoremmulti-armed bandits

Mathematics Subject Classification ID

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

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• On the Gittins index for multiarmed bandits
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Cited in

(14)

• On a stochastic representation theorem for Meyer-measurable processes
• Optimal learning with non-Gaussian rewards
• Four proofs of Gittins' multiarmed bandit theorem
• scientific article; zbMATH DE number 4079192 (Why is no real title available?)
• Continuous-time allocation indices and their discrete-time approximation
• General Gittins index processes in discrete time.
• Technical note -- A note on the equivalence of upper confidence bounds and Gittins indices for patient agents
• On an integral equation for the free-boundary of stochastic, irreversible investment problems
• Continuous-time public good contribution under uncertainty: a stochastic control approach
• A short proof of the Gittins index theorem
• Gittins indices in the dynamic allocation problem for diffusion processes
• Empirical Gittins index strategies with \(\varepsilon\)-explorations for multi-armed bandit problems
• Optimal stopping and Gittins' indices for piecewise deterministic evolution processes
• Gittins' theorem under uncertainty

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