FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W3122835117> ?p ?o ?g. }

• W3122835117 endingPage "1990" @default.
• W3122835117 startingPage "1951" @default.
• W3122835117 abstract "A price-maker company extracts an exhaustible commodity from a reservoir, and sells it in the spot market. In absence of any actions of the company, the commodity’s spot price evolves as an Ornstein–Uhlenbeck process. While extracting, the company’s actions have an impact on the commodity’s spot price. The company aims at maximizing the total expected profits from selling the commodity, net of the total expected proportional costs of extraction. We model this problem as a two-dimensional degenerate singular stochastic control problem with finite fuel. The optimal extraction rule is triggered by a strictly decreasing smooth curve that depends on the current level of the reservoir, and for which we provide an explicit expression. Finally, our study is complemented by a theoretical and numerical analysis of the dependency of the optimal extraction strategy and value function on the model’s parameters." @default.
• W3122835117 created "2021-02-01" @default.
• W3122835117 creator A5020814759 @default.
• W3122835117 creator A5059073165 @default.
• W3122835117 date "2019-09-30" @default.
• W3122835117 modified "2023-10-16" @default.
• W3122835117 title "An Optimal Extraction Problem with Price Impact" @default.
• W3122835117 cites W1486686237 @default.
• W3122835117 cites W1972172802 @default.
• W3122835117 cites W1976590557 @default.
• W3122835117 cites W1977361400 @default.
• W3122835117 cites W1978492332 @default.
• W3122835117 cites W1982453953 @default.
• W3122835117 cites W1984307567 @default.
• W3122835117 cites W1997214367 @default.
• W3122835117 cites W1999126580 @default.
• W3122835117 cites W2043854977 @default.
• W3122835117 cites W2059339817 @default.
• W3122835117 cites W2079246218 @default.
• W3122835117 cites W2091303169 @default.
• W3122835117 cites W2091464374 @default.
• W3122835117 cites W2144375082 @default.
• W3122835117 cites W2608850366 @default.
• W3122835117 cites W2615190415 @default.
• W3122835117 cites W2963550986 @default.
• W3122835117 cites W3121401950 @default.
• W3122835117 cites W3121713678 @default.
• W3122835117 cites W3123546728 @default.
• W3122835117 cites W4205302168 @default.
• W3122835117 cites W4292027175 @default.
• W3122835117 cites W616693435 @default.
• W3122835117 cites W99434680 @default.
• W3122835117 doi "https://doi.org/10.1007/s00245-019-09615-9" @default.
• W3122835117 hasPublicationYear "2019" @default.
• W3122835117 type Work @default.
• W3122835117 sameAs 3122835117 @default.
• W3122835117 citedByCount "10" @default.
• W3122835117 countsByYear W31228351172019 @default.
• W3122835117 countsByYear W31228351172020 @default.
• W3122835117 countsByYear W31228351172021 @default.
• W3122835117 countsByYear W31228351172022 @default.
• W3122835117 countsByYear W31228351172023 @default.
• W3122835117 crossrefType "journal-article" @default.
• W3122835117 hasAuthorship W3122835117A5020814759 @default.
• W3122835117 hasAuthorship W3122835117A5059073165 @default.
• W3122835117 hasBestOaLocation W31228351172 @default.
• W3122835117 hasConcept C10138342 @default.
• W3122835117 hasConcept C105795698 @default.
• W3122835117 hasConcept C106159729 @default.
• W3122835117 hasConcept C106306483 @default.
• W3122835117 hasConcept C111919701 @default.
• W3122835117 hasConcept C119599485 @default.
• W3122835117 hasConcept C121332964 @default.
• W3122835117 hasConcept C126255220 @default.
• W3122835117 hasConcept C127413603 @default.
• W3122835117 hasConcept C14036430 @default.
• W3122835117 hasConcept C14646407 @default.
• W3122835117 hasConcept C149782125 @default.
• W3122835117 hasConcept C162324750 @default.
• W3122835117 hasConcept C170131372 @default.
• W3122835117 hasConcept C175223733 @default.
• W3122835117 hasConcept C185592680 @default.
• W3122835117 hasConcept C206658404 @default.
• W3122835117 hasConcept C2776291640 @default.
• W3122835117 hasConcept C2776789725 @default.
• W3122835117 hasConcept C2779439359 @default.
• W3122835117 hasConcept C33923547 @default.
• W3122835117 hasConcept C41008148 @default.
• W3122835117 hasConcept C43617362 @default.
• W3122835117 hasConcept C4725764 @default.
• W3122835117 hasConcept C62520636 @default.
• W3122835117 hasConcept C72319582 @default.
• W3122835117 hasConcept C78458016 @default.
• W3122835117 hasConcept C86803240 @default.
• W3122835117 hasConcept C91575142 @default.
• W3122835117 hasConcept C98045186 @default.
• W3122835117 hasConceptScore W3122835117C10138342 @default.
• W3122835117 hasConceptScore W3122835117C105795698 @default.
• W3122835117 hasConceptScore W3122835117C106159729 @default.
• W3122835117 hasConceptScore W3122835117C106306483 @default.
• W3122835117 hasConceptScore W3122835117C111919701 @default.
• W3122835117 hasConceptScore W3122835117C119599485 @default.
• W3122835117 hasConceptScore W3122835117C121332964 @default.
• W3122835117 hasConceptScore W3122835117C126255220 @default.
• W3122835117 hasConceptScore W3122835117C127413603 @default.
• W3122835117 hasConceptScore W3122835117C14036430 @default.
• W3122835117 hasConceptScore W3122835117C14646407 @default.
• W3122835117 hasConceptScore W3122835117C149782125 @default.
• W3122835117 hasConceptScore W3122835117C162324750 @default.
• W3122835117 hasConceptScore W3122835117C170131372 @default.
• W3122835117 hasConceptScore W3122835117C175223733 @default.
• W3122835117 hasConceptScore W3122835117C185592680 @default.
• W3122835117 hasConceptScore W3122835117C206658404 @default.
• W3122835117 hasConceptScore W3122835117C2776291640 @default.
• W3122835117 hasConceptScore W3122835117C2776789725 @default.
• W3122835117 hasConceptScore W3122835117C2779439359 @default.
• W3122835117 hasConceptScore W3122835117C33923547 @default.
• W3122835117 hasConceptScore W3122835117C41008148 @default.

• next