英文标题：
《Mean Field Game Approach to Production and Exploration of Exhaustible
Commodities》
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作者：
Michael Ludkovski and Xuwei Yang
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最新提交年份：
2017
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英文摘要：
In a game theoretic framework, we study energy markets with a continuum of homogenous producers who produce energy from an exhaustible resource such as oil. Each producer simultaneously optimizes production rate that drives her revenues, as well as exploration effort to replenish her reserves. This exploration activity is modeled through a controlled point process that leads to stochastic increments to reserves level. The producers interact with each other through the market price that depends on the aggregate production. We employ a mean field game approach to solve for a Markov Nash equilibrium and develop numerical schemes to solve the resulting system of non-local HJB and transport equations with non-local coupling. A time-stationary formulation is also explored, as well as the fluid limit where exploration becomes deterministic.
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中文摘要：
在博弈论的框架下，我们研究了能源市场中的同质生产者，他们从石油等可耗竭资源中生产能源。每个生产商同时优化生产率，以推动其收入增长，并通过勘探努力补充储量。该勘探活动通过控制点过程建模，该过程导致储量水平的随机增量。生产者通过依赖于总产量的市场价格相互作用。我们采用平均场博弈方法来求解马尔可夫纳什均衡，并开发了数值方案来求解由此产生的非局部HJB系统和具有非局部耦合的输运方程。此外，还探讨了时间固定公式，以及勘探变得确定的流体极限。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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