Gittins indices in the dynamic allocation problem for diffusion processes

DOI10.1214/AOP/1176993381zbMATH Open0536.60058OpenAlexW2029832535MaRDI QIDQ792001FDOQ792001

Authors: Ioannis Karatzas 

Publication date: 1984

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993381

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zbMATH Keywords

stochastic control problemallocation policyGittins indices

Mathematics Subject Classification ID

Diffusion processes (60J60) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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