Title :
Optimal extraction of exhaustible resources with stochastic price
Author :
Ma, Jingying ; Zhang, Qimin
Author_Institution :
Sch. of Math. & Comput. Sci., Ningxia Univ., Yinchuan, China
Abstract :
In this paper, a stochastic optimal model of the exploration of exhaustible resources has been established with the aim to maximize the profit of extraction and by the assumption that both the price and the reserve of resource following the geometric Brownian motion. The HJB equation of the model and its economics explanation are deduced. Moreover, it is shown that the price of the exhaustible resource is equal to the sum of the extracted cost and its shadow rent.
Keywords :
Brownian motion; geometry; natural resources; pricing; stochastic processes; HJB equation; economics explanation; geometric Brownian motion; optimal exhaustible resources extraction; shadow rent; stochastic optimal model; stochastic price; Computer science; Economics; Educational institutions; Mathematical model; Petroleum; Stochastic processes; Exhaustible Resources; geometric Brownian motion; risk adjustment; shadow price; stochastic optimal control;
Conference_Titel :
Electric Information and Control Engineering (ICEICE), 2011 International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-8036-4
DOI :
10.1109/ICEICE.2011.5778211
