Explicit Gittins Indices for a Class of Superdiffusive Processes

DOI10.1239/jap/1183667421zbMath1133.60319OpenAlexW2082343755MaRDI QIDQ5443751

Max-Olivier Hongler, Roger Filliger

Publication date: 22 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1183667421

zbMATH Keywords

multiarmed Bandit processes

Mathematics Subject Classification ID

Stochastic scheduling theory in operations research (90B36) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (2)

On a super-diffusive, nonlinear birth and death process ⋮ Optimal learning with non-Gaussian rewards

Cites Work

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• Gittins indices in the dynamic allocation problem for diffusion processes
• Multi-armed bandits in discrete and continuous time
• Quantum Random Walks and Piecewise Deterministic Evolutions
• Markov functions
• Optimal stopping and Gittins' indices for piecewise deterministic evolution processes

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