The system of quasi-variational inequalities attached to the two-armed bandit problem

DOI10.1080/17442509408833888zbMath0826.60063OpenAlexW2058294524MaRDI QIDQ4840928

Teruo Tanaka

Publication date: 14 November 1995

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833888

zbMATH Keywords

variational inequalityquasi-variational inequalitiesDirichlet formsGittins indexdegenerate diffusion processesstochastic control problemsbi-Markov processestwo-parameter continuous time stochastic processestwo-parameter optimal stopping problem

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Optimal stochastic control (93E20)

Cites Work

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• Gittins indices in the dynamic allocation problem for diffusion processes
• Optimal switching for alternating processes
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• Optimal switching for two-parameter stochastic processes
• On an optimal stopping problem and a variational inequality
• On the Optimal Reward Function of the Continuous Time Multiarmed Bandit Problem
• Two parameter optimal stopping and bi-Markov processes
• Stochastic control of two-parameter processes application:the two-armed bandit problem
• On the Optimal Stopping Time Problem for Degenerate Diffusions
• On the Optimal Impulse Control Problem for Degenerate Diffusions

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