Article contents
Explicit Gittins Indices for a Class of Superdiffusive Processes
Published online by Cambridge University Press: 14 July 2016
Abstract
We explicitly calculate the dynamic allocation indices (i.e. the Gittins indices) for multi-armed Bandit processes driven by superdiffusive noise sources. This class of model generalizes former results derived by Karatzas for diffusive processes. In particular, the Gittins indices do, in this soluble class of superdiffusive models, explicitly depend on the noise state.
MSC classification
- Type
- Research Article
- Information
- Copyright
- Copyright © Applied Probability Trust 2007
References
- 4
- Cited by