FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2493768452> ?p ?o ?g. }

• W2493768452 abstract "This paper studies a finite-fuel two-dimensional degenerate singular stochastic control problem under regime switching that is motivated by the optimal irreversible extraction problem of an exhaustible commodity. A company extracts a natural resource from a reserve with finite capacity, and sells it in the market at a spot price that evolves according to a Brownian motion with volatility modulated by a two-state Markov chain. In this setting, the company aims at finding the extraction rule that maximizes its expected discounted cash flow, net of the costs of extraction and maintenance of the reserve. We provide expressions both for the value function and for the optimal control. On the one hand, if the running cost for the maintenance of the reserve is a convex function of the reserve level, the optimal extraction rule prescribes a Skorokhod reflection of the (optimally) controlled state process at a certain state and price dependent threshold. On the other hand, in presence of a concave running cost function it is optimal to instantaneously deplete the reserve at the time at which the commodity's price exceeds an endogenously determined critical level. In both cases, the threshold triggering the optimal control is given in terms of the optimal stopping boundary of an auxiliary family of perpetual optimal selling problems with regime switching." @default.
• W2493768452 created "2016-08-23" @default.
• W2493768452 creator A5020814759 @default.
• W2493768452 creator A5045180012 @default.
• W2493768452 date "2016-02-22" @default.
• W2493768452 modified "2023-09-27" @default.
• W2493768452 title "On an Optimal Extraction Problem with Regime Switching" @default.
• W2493768452 cites W1489889419 @default.
• W2493768452 cites W1507126399 @default.
• W2493768452 cites W1545370368 @default.
• W2493768452 cites W1548953477 @default.
• W2493768452 cites W1558902221 @default.
• W2493768452 cites W179333040 @default.
• W2493768452 cites W1829061990 @default.
• W2493768452 cites W1965746347 @default.
• W2493768452 cites W1974769456 @default.
• W2493768452 cites W1976590557 @default.
• W2493768452 cites W1983819214 @default.
• W2493768452 cites W1995503011 @default.
• W2493768452 cites W1999126580 @default.
• W2493768452 cites W2004701830 @default.
• W2493768452 cites W2020337075 @default.
• W2493768452 cites W2042775870 @default.
• W2493768452 cites W2053604117 @default.
• W2493768452 cites W2074635367 @default.
• W2493768452 cites W2091464374 @default.
• W2493768452 cites W2129263743 @default.
• W2493768452 cites W2174312558 @default.
• W2493768452 cites W3122581710 @default.
• W2493768452 cites W3124542471 @default.
• W2493768452 cites W3126061707 @default.
• W2493768452 cites W604762380 @default.
• W2493768452 hasPublicationYear "2016" @default.
• W2493768452 type Work @default.
• W2493768452 sameAs 2493768452 @default.
• W2493768452 citedByCount "0" @default.
• W2493768452 crossrefType "posted-content" @default.
• W2493768452 hasAuthorship W2493768452A5020814759 @default.
• W2493768452 hasAuthorship W2493768452A5045180012 @default.
• W2493768452 hasConcept C10138342 @default.
• W2493768452 hasConcept C105795698 @default.
• W2493768452 hasConcept C121332964 @default.
• W2493768452 hasConcept C126255220 @default.
• W2493768452 hasConcept C134306372 @default.
• W2493768452 hasConcept C14036430 @default.
• W2493768452 hasConcept C14646407 @default.
• W2493768452 hasConcept C149782125 @default.
• W2493768452 hasConcept C159886148 @default.
• W2493768452 hasConcept C162324750 @default.
• W2493768452 hasConcept C163428354 @default.
• W2493768452 hasConcept C170131372 @default.
• W2493768452 hasConcept C33923547 @default.
• W2493768452 hasConcept C37404715 @default.
• W2493768452 hasConcept C62354387 @default.
• W2493768452 hasConcept C62520636 @default.
• W2493768452 hasConcept C72319582 @default.
• W2493768452 hasConcept C78458016 @default.
• W2493768452 hasConcept C86803240 @default.
• W2493768452 hasConcept C91575142 @default.
• W2493768452 hasConcept C91602232 @default.
• W2493768452 hasConcept C98763669 @default.
• W2493768452 hasConcept C99414536 @default.
• W2493768452 hasConceptScore W2493768452C10138342 @default.
• W2493768452 hasConceptScore W2493768452C105795698 @default.
• W2493768452 hasConceptScore W2493768452C121332964 @default.
• W2493768452 hasConceptScore W2493768452C126255220 @default.
• W2493768452 hasConceptScore W2493768452C134306372 @default.
• W2493768452 hasConceptScore W2493768452C14036430 @default.
• W2493768452 hasConceptScore W2493768452C14646407 @default.
• W2493768452 hasConceptScore W2493768452C149782125 @default.
• W2493768452 hasConceptScore W2493768452C159886148 @default.
• W2493768452 hasConceptScore W2493768452C162324750 @default.
• W2493768452 hasConceptScore W2493768452C163428354 @default.
• W2493768452 hasConceptScore W2493768452C170131372 @default.
• W2493768452 hasConceptScore W2493768452C33923547 @default.
• W2493768452 hasConceptScore W2493768452C37404715 @default.
• W2493768452 hasConceptScore W2493768452C62354387 @default.
• W2493768452 hasConceptScore W2493768452C62520636 @default.
• W2493768452 hasConceptScore W2493768452C72319582 @default.
• W2493768452 hasConceptScore W2493768452C78458016 @default.
• W2493768452 hasConceptScore W2493768452C86803240 @default.
• W2493768452 hasConceptScore W2493768452C91575142 @default.
• W2493768452 hasConceptScore W2493768452C91602232 @default.
• W2493768452 hasConceptScore W2493768452C98763669 @default.
• W2493768452 hasConceptScore W2493768452C99414536 @default.
• W2493768452 hasLocation W24937684521 @default.
• W2493768452 hasOpenAccess W2493768452 @default.
• W2493768452 hasPrimaryLocation W24937684521 @default.
• W2493768452 hasRelatedWork W1485248950 @default.
• W2493768452 hasRelatedWork W1499749791 @default.
• W2493768452 hasRelatedWork W1706880461 @default.
• W2493768452 hasRelatedWork W179333040 @default.
• W2493768452 hasRelatedWork W1984296333 @default.
• W2493768452 hasRelatedWork W1984307567 @default.
• W2493768452 hasRelatedWork W2000587431 @default.
• W2493768452 hasRelatedWork W2008784413 @default.
• W2493768452 hasRelatedWork W2068748263 @default.
• W2493768452 hasRelatedWork W2082750899 @default.
• W2493768452 hasRelatedWork W2121830195 @default.
• W2493768452 hasRelatedWork W2158999377 @default.

• next