scientific article; zbMATH DE number 1985272
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Publication:4429136
zbMATH Open1065.91022MaRDI QIDQ4429136FDOQ4429136
Publication date: 24 September 2003
Title of this publication is not available (Why is that?)
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Gittins indexoptimal stoppingrepresentation theoremAmerican optionsmulti-armed banditsoptimal consumption plans
Derivative securities (option pricing, hedging, etc.) (91G20) Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40)
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- On an integral equation for the free-boundary of stochastic, irreversible investment problems
- Continuous-time public good contribution under uncertainty: a stochastic control approach
- Expected Supremum Representation of the Value of a Singular Stochastic Control Problem
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- On a Class of Infinite-Dimensional Singular Stochastic Control Problems
- A stochastic representation theorem with applications to optimization and obstacle problems.
- Gittins' theorem under uncertainty
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