Optimal exploitation of renewable resources by the viscosity solution method

被引：6
|
作者：
Morimoto, H
Kawaguchi, K
机构：
[1] Ehime Univ, Fac Sci, Dept Math Sci, Matsuyama, Ehime 7900826, Japan
[2] Ehime Univ, Dept Comprehens Policy Making, Fac Law & Letters, Matsuyama, Ehime 7900826, Japan
来源：
STOCHASTIC ANALYSIS AND APPLICATIONS | 2002年 / 20卷 / 05期
关键词：
D O I：
10.1081/SAP-120014549
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We study the stochastic optimization problem of renewable resources to maximize the expected discounted utility of exploitation. We develop the viscosity solution method to the associated Hamilton-Jacobi-Bellman equation and further show the C-2-regularity of the viscosity solution under the strict concavity of the utility function. The optimal policy is shown to exist and given in a feedback form or a stochastic version of Hotelling's rule.
引用
收藏
页码：927 / 946
页数：20
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