On Gittins' index theorem in continuous time
DOI10.1016/J.SPA.2007.01.006zbMATH Open1120.93055OpenAlexW1980104299MaRDI QIDQ2642040FDOQ2642040
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
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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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Cited In (14)
- On a stochastic representation theorem for Meyer-measurable processes
- Optimal learning with non-Gaussian rewards
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- Four proofs of Gittins' multiarmed bandit theorem
- 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
- Empirical Gittins index strategies with \(\varepsilon\)-explorations for multi-armed bandit problems
- Gittins indices in the dynamic allocation problem for diffusion processes
- Optimal stopping and Gittins' indices for piecewise deterministic evolution processes
- Gittins' theorem under uncertainty
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