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February, 1984 Gittins Indices in the Dynamic Allocation Problem for Diffusion Processes
Ioannis Karatzas
Ann. Probab. 12(1): 173-192 (February, 1984). DOI: 10.1214/aop/1176993381


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.


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Ioannis Karatzas. "Gittins Indices in the Dynamic Allocation Problem for Diffusion Processes." Ann. Probab. 12 (1) 173 - 192, February, 1984.


Published: February, 1984
First available in Project Euclid: 19 April 2007

zbMATH: 0536.60058
MathSciNet: MR723737
Digital Object Identifier: 10.1214/aop/1176993381

Primary: 93E20
Secondary: 60G40 , 60J60

Keywords: Diffusion processes , Dynamic allocation , Gittins index , Optimal stopping , play-the-leader rule , variational inequalities

Rights: Copyright © 1984 Institute of Mathematical Statistics

Vol.12 • No. 1 • February, 1984
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