Abstract
We consider a version of the continuous-time multi-armed bandit problem where decision opportunities arrive at Poisson arrival times, and study its Gittins index policy. When driven by spectrally one-sided Lévy processes, the Gittins index can be written explicitly in terms of the scale function, and is shown to converge to that in the classical Lévy bandit of Kaspi and Mandelbaum (1995).
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