英文标题：
《Optimal Resource Extraction in Regime Switching L\\\'evy Markets》
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作者：
Moustapha Pemy
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最新提交年份：
2016
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英文摘要：
  This paper studies the problem of optimally extracting nonrenewable natural resource in light of various financial and economic restrictions and constraints. Taking into account the fact that the market values of the main natural resources i.e. oil, natural gas, copper,...,etc, fluctuate randomly following global and seasonal macroeconomic parameters, these values are modeled using Markov switching L\\\'evy processes. We formulate this problem as finite-time horizon combined optimal stopping and optimal control problem. We prove that the value function is the unique viscosity solution of the corresponding Hamilton-Jacobi-Bellman equations. Moreover, we prove the convergence of a finite difference approximation of the value function. Numerical examples are presented to illustrate these results.
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中文摘要：
本文研究了在各种金融和经济限制和约束条件下，不可再生自然资源的最优开采问题。考虑到石油、天然气、铜等主要自然资源的市场价值，。。。，etc随全球和季节性宏观经济参数随机波动，这些值使用马尔可夫切换列维过程建模。我们将该问题描述为有限时间范围内的最优停止和最优控制问题。证明了该值函数是相应Hamilton-Jacobi-Bellman方程的唯一粘性解。此外，我们还证明了值函数的有限差分逼近的收敛性。数值算例说明了这些结果。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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