英文标题：
《Explicit Solutions for Optimal Resource Extraction Problems under Regime
Switching L\\\'evy Models》
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作者：
Moustapha Pemy
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最新提交年份：
2018
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英文摘要：
This paper studies the problem of optimally extracting nonrenewable natural resources. 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, the prices of natural resources are modeled using Markov switching L\\\'evy processes. We formulate this optimal extraction problem as an infinite-time horizon optimal control problem. We derive closed-form solutions for the value function as well as the optimal extraction policy. Numerical examples are presented to illustrate these results.
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中文摘要：
本文研究了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，。。。，等，随着全球和季节性宏观经济参数的随机波动，自然资源的价格使用马尔可夫切换L拞evy过程建模。我们将这个最优提取问题描述为一个无限时间范围的最优控制问题。我们推导了值函数的闭式解以及最优提取策略。数值算例说明了这些结果。
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分类信息：

一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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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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