A Combined Optimal Stopping and Stochastic Control Model for Competitive Market of Exhaustible Resources

被引：0

作者：

Ma Jingying ^{[1
]}

机构：

[1] Ningxia Univ, Sch Math & Comp Sci, Yinchuan 750021, Peoples R China

来源：

2011 30TH CHINESE CONTROL CONFERENCE (CCC) | 2011年

关键词：

Exhaustible Resources; Stochastic Optimal Control; Optimal Stopping Time; EXPLORATION; EXTRACTION;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

In this paper, a combined optimal stopping and stochastic control model of the exploration of exhaustible resources has been established with the aim to maximize the present value of the sum of the net profit of extraction and the value of the remaining resources at the stopping time tau* by the assumption that the price of resource following the geometric Brownian motion and the reserve following a Levy process with jump. The optimal stopping time and optimal control of a special case is given.

引用

页码：5759 / 5763

页数：5

共 10 条

[1] Aronofsky JS, 1958, J PETROL TECHNOL, V10, P389
[2] OPTIMAL CONSUMPTION AND EXPLORATION OF NON-RENEWABLE RESOURCES UNDER UNCERTAINTY
DESHMUKH, SD
PLISKA, SR
[J]. ECONOMETRICA, 1980, 48 (01) : 177 - 200
[3] Optimally eating a stochastic cake: a recursive utility approach
Epaulard, A
Pommeret, A
[J]. RESOURCE AND ENERGY ECONOMICS, 2003, 25 (02) : 129 - 139
[4] THE ECONOMICS OF EXHAUSTIBLE RESOURCES
Hotelling, Harold
[J]. JOURNAL OF POLITICAL ECONOMY, 1931, 39 (02) : 137 - 175
[5] Kneese AV., 1993, HDB NATURAL RESOURCE, VIII
[6] Resource characteristics, extraction costs, and optimal exploitation of mineral resources
Marvasti, A
[J]. ENVIRONMENTAL & RESOURCE ECONOMICS, 2000, 17 (04): : 395 - 408
[7] Oksendal B.K., 2005, Applied Stochastic Control of Jump Diffusions
[8] THE OPTIMAL PRODUCTION OF AN EXHAUSTIBLE RESOURCE WHEN PRICE IS EXOGENOUS AND STOCHASTIC
PINDYCK, RS
[J]. SCANDINAVIAN JOURNAL OF ECONOMICS, 1981, 83 (02): : 277 - 288
[9] An integrated modelling framework for exploration and extraction of petroleum resources
Rao, RD
[J]. RESOURCES POLICY, 2000, 26 (03) : 133 - 143
[10] Optimal transition to backstop substitutes for nonrenewable resources
Tsur, Y
Zemel, A
[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2003, 27 (04): : 551 - 572

← 1 →