Optimal Exploitation of a General Renewable Natural Resource under State and Delay Constraints

Autor:	M’hamed Gaïgi, Idris Kharroubi, Thomas Lim
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	impulse control natural resource optimal harvesting execution delay viscosity solutions state constraints Mathematics QA1-939
Zdroj:	Mathematics, Vol 8, Iss 11, p 2053 (2020)
Druh dokumentu:	article
ISSN:	2227-7390
DOI:	10.3390/math8112053
Popis:	In this work, we study an optimization problem arising in the management of a natural resource over an infinite time horizon. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager is allowed to harvest the resource and sell it at a stochastic market price modeled by a geometric Brownian process. We assume that there are delay constraints imposed on the decisions of the manager. More precisely, starting harvesting order and selling order are executed after a delay. By using the dynamic programming approach, we characterize the value function as the unique solution to an original partial differential equation. We complete our study with some numerical illustrations.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/8c7ec06d30da4815ba3f7a07c2c7a0cc Zobrazit plný text záznamu View record in DOAJ Plný text ve formátu PDF Plný text ve formátu HTML
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