Optimal extraction with an impact on diffusion-jump pricing
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Cites work
- An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
- An optimal extraction problem with price impact
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Fluctuations of Lévy processes with applications. Introductory lectures
- Generalized solution in singular stochastic control: The nondegenerate problem
- HJB equations with gradient constraint associated with controlled jump-diffusion processes
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 2208228 (Why is no real title available?)
- Irreversible capital accumulation with economic impact
- Maximum likelihood estimation of the double exponential jump-diffusion process
- On an optimal extraction problem with regime switching
- Optimal execution with multiplicative price impact
- Optimal oil production and taxation under mean reverting jump diffusion models
- Periodic strategies in optimal execution with multiplicative price impact
- Solution to HJB equations with an elliptic integro-differential operator and gradient constraint
- Steady-state growth in a Hotelling model of resource extraction
- The economics of exhaustible resources.
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