Gittins Indices in the Dynamic Allocation Problem for Diffusion Processes

• 1 February 1984
• journal article
• Published by Institute of Mathematical Statistics in The Annals of Probability
• Vol. 12  (1) , 173-192
• https://doi.org/10.1214/aop/1176993381

Abstract

Keywords

• VARIATIONAL INEQUALITIES
• VARIATIONAL INEQUALITY
• DIFFUSION PROCESS
• INDEXATION
• GITTINS INDEX
• OPTIMAL STOPPING