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  • Search: subject:"singular stochastic finite-fuel control problem"
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Year of publication
Subject
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exhaustible commodity 2 free boundary 2 market impact 2 optimal extraction 2 singular stochastic finite-fuel control problem 2 variational inequality 2 Mathematical programming 1 Mathematische Optimierung 1 Resource economics 1 Ressourcenökonomik 1 Stochastic process 1 Stochastischer Prozess 1 Theorie 1 Theory 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 2
Author
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Ferrari, Giorgio 2 Koch, Torben 2
Published in...
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Center for Mathematical Economics Working Papers 1 Working papers / Universität Bielefeld, Center for Mathematical Economics (IMW) 1
Source
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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An optimal extraction problem with price impact
Ferrari, Giorgio; Koch, Torben - 2018
A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's spot price evolves either as a drifted Brownian motion or as an Ornstein- Uhlenbeck process. While extracting, the...
Persistent link: https://www.econbiz.de/10012042142
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Cover Image
An optimal extraction problem with price impact
Ferrari, Giorgio; Koch, Torben - 2018
A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's spot price evolves either as a drifted Brownian motion or as an Ornstein- Uhlenbeck process. While extracting, the...
Persistent link: https://www.econbiz.de/10011942642
Saved in:
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