Afficher la notice abrégée

dc.contributor.authorLim, Thomas
dc.contributor.authorKharroubi, Idris
dc.contributor.authorLy-Vath, Vathana
dc.date.accessioned2018-09-06T14:22:20Z
dc.date.available2018-09-06T14:22:20Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17974
dc.language.isoenen
dc.subjectstates constraintsen
dc.subjectviscosity solutionsen
dc.subjectexecution delayen
dc.subjectimpulse controlen
dc.subjectrenewable resourceen
dc.subjectoptimal harvestingen
dc.subject.ddc515en
dc.titleOptimal Exploitation of a Resource with Stochastic Population Dynamics and Delayed Renewalen
dc.typeDocument de travail / Working paper
dc.description.abstractenIn this work, we study the optimization problem of a renewable resource in finite time. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager may harvest partially the resource at any time and sell it at a stochastic market price. She may equally decide to renew part of the resource but uniquely at deterministic times. However, we realistically assume that there is a delay in the renewing order. By using the dynamic programming theory, we may obtain the PDE characterization of our value function. To complete our study, we give an algorithm to compute the value function and optimal strategy. Some numerical illustrations will be equally provided.en
dc.identifier.citationpages33en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-01835011en
dc.subject.ddclabelAnalyseen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2018-09-06T14:14:13Z
hal.person.labIds245277
hal.person.labIds60
hal.person.labIds


Fichiers attachés à cette notice

Thumbnail

Ce document fait partie de la (des) collection(s) suivante(s)

Afficher la notice abrégée