Outside of the UK I believe it gets pretty complicated. In the UK anyone can advertise but there are certain rules, for example you have to be in a white listed juridisction such as Malta, Isle of Man, Alderney, Gibraltar, Antigua (I think), and Tazmania. There are then rules such as the advert is not allowed to glamorise gambling, traget kids, present it as an easy way to get money, there are restrictions on bonus offers etc. The Advertising Standards Authority will have more info on this.
I don’t know a huge amount about outside the UK but people do it definitely – For example with Spain I think you can advertise (kinda) until the gov says no and then teh puiblication has 6 months to stop those ads and if you are an operator you get huge fines….however you may notice most Spanish operators are marketing agencies as they then avoid the huge fine.
Really depends on the country you wish to target