Gittins Indices in the Dynamic Allocation Problem for Diffusion Processes
Karatzas, Ioannis
Ann. Probab., Tome 12 (1984) no. 4, p. 173-192 / Harvested from Project Euclid
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We discuss the problem of allocating effort among several competing projects, the states of which evolve according to one-dimensional diffusion processes. It is shown that the "play-the-leader" policy of continuing the project with the leading Gittins index is optimal, and very explicit computations of the index are offered. The question of constructing the diffusions according to the above policy is also addressed.
Publié le : 1984-02-14
Classification:  Dynamic allocation,  diffusion processes,  variational inequalities,  optimal stopping,  Gittins index,  play-the-leader rule,  93E20,  60G40,  60J60 
@article{1176993381,
     author = {Karatzas, Ioannis},
     title = {Gittins Indices in the Dynamic Allocation Problem for Diffusion Processes},
     journal = {Ann. Probab.},
     volume = {12},
     number = {4},
     year = {1984},
     pages = { 173-192},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993381}
}

Karatzas, Ioannis. Gittins Indices in the Dynamic Allocation Problem for Diffusion Processes. Ann. Probab., Tome 12 (1984) no. 4, pp.  173-192. http://gdmltest.u-ga.fr/item/1176993381/