Title :
A combined optimal stopping and stochastic control model for competitive market of exhaustible resources
Author_Institution :
Sch. of Math. & Comput. Sci., Ningxia Univ., Yinchuan, China
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;
Conference_Titel :
Control Conference (CCC), 2011 30th Chinese
Conference_Location :
Yantai
Print_ISBN :
978-1-4577-0677-6
Electronic_ISBN :
1934-1768
