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Optimal exploitation of a resource with stochastic population dynamics and delayed renewal

26 marzo 2020 ore 11:00 - 12:00

Aula 207, Sede di Viale Romania, 32

Speaker: Thomas Lim, ENSIIE, LaMME

Abstract:

"In this work, we study an optimization problem arising when managing a renewableresource in nite time. The resource is assumed to evolve according to a logisticstochastic dierential equation. The manager harvests partially the resource at anytime and sell it at a stochastic market price. She equally decides to renew part of theresource but uniquely at deterministic times. However, we realistically assume thatthere is a delay in the renewing order. By using the dynamic programming theory,we characterize our value function as the unique solution to a PDE. To complete ourstudy, we give an algorithm to compute the value function and optimal strategy. Somenumerical illustrations are also provided."


AllegatoDimensione
KLL-revision.pdf1.32 MB