DocumentCode
550610
Title
A combined optimal stopping and stochastic control model for competitive market of exhaustible resources
Author
Ma Jingying
Author_Institution
Sch. of Math. & Comput. Sci., Ningxia Univ., Yinchuan, China
fYear
2011
fDate
22-24 July 2011
Firstpage
5759
Lastpage
5763
Abstract
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 τ* 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.
Keywords
marketing; optimal control; stochastic systems; Levy process; competitive market; geometric Brownian motion; optimal control; optimal stopping; stochastic control model; Computational modeling; Economics; Electronic mail; Mathematical model; Optimal control; Petroleum; Stochastic processes; Exhaustible Resources; Optimal Stopping Time; Stochastic Optimal Control;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference (CCC), 2011 30th Chinese
Conference_Location
Yantai
ISSN
1934-1768
Print_ISBN
978-1-4577-0677-6
Electronic_ISBN
1934-1768
Type
conf
Filename
6000949
Link To Document