Optimal consumption and exploration: A case study in piecewise-deterministic Markov modelling

DOI10.1023/A:1018918027153zbMath0959.91046OpenAlexW4776762MaRDI QIDQ1808218

Mohammad Farid, Mark H. A. Davis

Publication date: 2 December 1999

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1018918027153

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutionstochastic optimal controlnon-renewable resourcesoptimal decisionpiecewise-deterministic Markov process

Mathematics Subject Classification ID

Trade models (91B60) Optimal stochastic control (93E20)

Related Items (4)

Exploration and exhaustibility in dynamic Cournot games ⋮ Nonparametric estimation of jump rates for a specific class of piecewise deterministic Markov processes ⋮ NUMERICAL ANALYSIS AND SIMULATION OF RESOURCE-EXPLORATION MODELS ⋮ Constrained BSDEs Driven by a Non-Quasi-Left-Continuous Random Measure and Optimal Control of PDMPs on Bounded Domains

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