Scholarlink

<p>We study an optimal extraction problem where the agent’s actions in the spot market exert an additive proportional negative impact on the commodity price. The commodity price dynamics, prior to any activity by the agent, evolve according to a drifted Brownian motion with jumps. The agent’s primary aim is to identify an optimal extraction strategy that maximise their expected net profits. Additionally, we explore the connection between this problem and an optimal stopping problem.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Optimal Extraction with an Impact on Diffusion-Jump Pricing

  • 期刊论文

  • 发表日期：

    2026年6月17日

查看全文
  • Johanna Garzón,
  • Jhonatan S. Mora Rodríguez,
  • Harold A. Moreno-Franco

摘要

We study an optimal extraction problem where the agent’s actions in the spot market exert an additive proportional negative impact on the commodity price. The commodity price dynamics, prior to any activity by the agent, evolve according to a drifted Brownian motion with jumps. The agent’s primary aim is to identify an optimal extraction strategy that maximise their expected net profits. Additionally, we explore the connection between this problem and an optimal stopping problem.