Synchronization and optimality for multi-armed bandit problems in continuous time

zbMath0893.90171MaRDI QIDQ1375891

Ioannis Karatzas, Nicole El Karoui

Publication date: 21 January 1998

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

stochastic calculusmulti-armed banditcontinuous-time dynamic allocationsynchronization identity

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Markov and semi-Markov decision processes (90C40)

Related Items (4)

On Gittins' index theorem in continuous time ⋮ Empirical Gittins index strategies with \(\varepsilon\)-explorations for multi-armed bandit problems ⋮ A general approximation method for optimal stopping and random delay ⋮ Minimizing the time to a decision

This page was built for publication: Synchronization and optimality for multi-armed bandit problems in continuous time