Optimal ergodic harvesting under ambiguity
From MaRDI portal
Publication:5072292
Abstract: We consider an ergodic harvesting problem with model ambiguity that arises from biology. To account for the ambiguity, the problem is constructed as a stochastic game with two players: the decision-maker (DM) chooses the `best' harvesting policy and an adverse player chooses the `worst' probability measure. The main result is establishing an optimal strategy (also referred to as a control) of the DM and showing that it is a threshold policy. The optimal threshold and the optimal payoff are obtained by solving a free-boundary problem emerging from the Hamilton--Jacobi--Bellman (HJB) equation. As part of the proof, we fix a gap that appeared in the HJB analysis of [Alvarez and Hening, {em Stochastic Process. Appl.}, 2019], a paper that analyzed the risk-neutral version of the ergodic harvesting problem. Finally, we study the dependence of the optimal threshold and the optimal payoff on the ambiguity parameter and show that if the ambiguity goes to 0, the problem converges, to the risk-neutral problem.
Recommendations
- Ergodic method on optimal harvesting for a stochastic Gompertz-type diffusion process
- Asymptotic harvesting of populations in random environments
- Harvesting in stochastic environments: optimal policies in a relaxed model
- On optimal harvesting problems in random environments
- Optimal harvesting in the stochastic logistic growth model with finite horizon
Cites work
- scientific article; zbMATH DE number 1631027 (Why is no real title available?)
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 3658896 (Why is no real title available?)
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- A scaling limit for utility indifference prices in the discretised Bachelier model
- A singular control problem with an expected and a pathwise ergodic performance criterion
- A variational representation for certain functionals of Brownian motion
- An explicit formula for the Skorokhod map on \([0,a]\)
- Asymptotic analysis of a multiclass queueing control problem under heavy traffic with model uncertainty
- Asymptotic harvesting of populations in random environments
- Asymptotic optimality of the generalized \(c\mu\) rule under model uncertainty
- Brownian control problems for a multiclass M/M/1 queueing problem with model uncertainty
- Controlled Markov processes and viscosity solutions
- Discrete-Time Controlled Markov Processes with Average Cost Criterion: A Survey
- Ergodic control of diffusion processes.
- Ergodicity of Robust Switching Control and Nonlinear System of Quasi-Variational Inequalities
- Existence of optimal controls for singular control problems with state constraints
- HJB equations for certain singularly controlled diffusions
- Harvesting and seeding of stochastic populations: analysis and numerical approximation
- Harvesting of interacting stochastic populations
- Minimizing the probability of lifetime ruin under ambiguity aversion
- Nonlinear differential equations and dynamical systems
- On optimal harvesting problems in random environments
- On singular control problems, the time-stretching method, and the weak-M1 topology
- On the optimality of threshold control in queues with model uncertainty
- On the option interpretation of rational harvesting planning
- Optimal harvesting from a population in a stochastic crowded environment
- Optimal harvesting from interacting populations in a stochastic environment
- Optimal harvesting of stochastically fluctuating populations
- Optimal multi-dimensional stochastic harvesting with density-dependent prices
- Optimal sustainable harvesting of populations in random environments
- Robust control and model misspecification
- Robust sensitivity analysis for stochastic systems
- Robust utility maximization with Lévy processes
- Robustness
- Singular ergodic control for multidimensional Gaussian processes
- Singular stochastic control, linear diffusions, and optimal stopping: A class of solvable problems
Cited in
(4)- Time‐average stochastic control based on a singular local Lévy model for environmental project planning under habit formation
- Limit equations of adaptive Erlangization and their application to environmental management
- Optimal Dividends Under Model Uncertainty
- The effects of random and seasonal environmental fluctuations on optimal harvesting and stocking
This page was built for publication: Optimal ergodic harvesting under ambiguity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5072292)
