Gittins indices in the dynamic allocation problem for diffusion processes

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

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

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)

Cited In (30)

• Optimal contract for outsourcing information acquisition
• Optimal learning before choice
• Stochastic control of two-parameter processes application:the two-armed bandit problem
• Equivalent models for finite-fuel stochastic control
• Bandit and covariate processes, with finite or non-denumerable set of arms
• Firm-specific training
• Sensitivity of the gittins index in the contiuous time two-armed bandit problem
• Optimality of Threshold Stopping Times for Diffusion Processes
• The system of quasi-variational inequalities attached to the two-armed bandit problem
• Common value experimentation
• A General Theory of MultiArmed Bandit Processes with Constrained Arm Switches
• General Gittins index processes in discrete time.
• An exact bandit model for the risk-volatility tradeoff
• A stochastic differential equation driven by Poisson random measure and its application in a duopoly market
• Explicit Gittins Indices for a Class of Superdiffusive Processes
• Applicable stochastic control: From theory to practice
• Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems
• Consumer strategy, vendor strategy and equilibrium in duopoly markets with production costs
• On variant reflected backward SDEs, with applications
• Title not available (Why is that?)
• Expected Supremum Representation of the Value of a Singular Stochastic Control Problem
• A stochastic representation theorem with applications to optimization and obstacle problems.
• Discrete multiarmed bandits and multiparameter processes
• Empirical Gittins index strategies with \(\varepsilon\)-explorations for multi-armed bandit problems
• On an Optimal Stopping Problem for Multi-Parameter Diffusion Processes
• A martingale approach to minimal surfaces
• On average cost stopping time problems
• An optimal stopping time problem with time average cost in a bounded interval
• Two-Armed Restless Bandits with Imperfect Information: Stochastic Control and Indexability
• A common value experimentation with multiarmed bandits

   Recommendations

• General Gittins index processes in discrete time. 👍 👎
• Explicit Gittins Indices for a Class of Superdiffusive Processes 👍 👎
• Continuous-time allocation indices and their discrete-time approximation 👍 👎
• Dynamics of G-processes 👍 👎
• Title not available (Why is that?) 👍 👎
• Optimal stopping and Gittins' indices for piecewise deterministic evolution processes 👍 👎
• A generalized Gittins index for a Markov chain and its recursive calculation 👍 👎
• Diffusion approximation for \(GI/G/1\) controlled queues 👍 👎
• A Diffusion Approximation for the G/GI/n/m Queue 👍 👎
• On Gittins' index theorem in continuous time 👍 👎

This page was built for publication: Gittins indices in the dynamic allocation problem for diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q792001)