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Linear Quadratic Control Problems for Mean Field Stochastic Differential Equation with Jumps: Application in Exhaustible Resources Production
| Content Provider | Hyper Articles en Ligne (HAL) |
|---|---|
| Author | Matoussi, Anis Mnif, Mohamed Ziri, Chefia |
| Copyright Year | 2022 |
| Abstract | In this paper, we are interested by a stochastic model of production of an exhaustible resource, such as oil. It is known that such reserves are depleted resources, but there is a possibility of exploration and discovery of new reserves which ensure the accumulating or the upkeep of this reserves' level. We modelled the new discoveries by a jump process with intensity given by the exploration effort. We employed a weak formulation of the standard martingale optimality principle to solve a linear quadratic stochastic control problem for mean field stochastic differential equation with jumps in both cases: finite and infinite horizon. |
| Related Links | https://hal.science/hal-03815082/file/MFC-With-jumps-2022.pdf |
| Language | English |
| Publisher | HAL CCSD |
| Access Restriction | Open |
| Subject Keyword | Riccati equation Mean field SDEs with jumps Mean field BSDEs with jumps Exhaustible resources Linear quadratic optimal control Jumps diffusion process Stochastic control |
| Content Type | Text |
| Resource Type | Article |
| Subject | Mathematics |
