1-4 September 2015
Angers - France
Europe/Paris timezone

A martingale fixed-point problem in optimal reserve exploration

3 Sep 2015, 11:20
30m
Angers - France

Angers - France

Speaker

Prof. Juri Hinz (UTS)

Description

A martingale fixed-point problem in optimal reserve exploration We show how diverse problems in the area optimal resource management, exploration of natural reserves, and environmental protection by cap-and-trade mechanism can be naturally formulated under a unified framework, as stochastic control problems of a specific type. Moreover, it turns out that solutions to these control problems are equivalently described in terms of fixed-point equations for martingales. Such fixed point martingale processes can be interpreted as a market price for a virtual allowance which gives the right to use the resources remaining in the reserve after the exploration. We suggest numerical schemes for solution of these fixed point equations and elaborate on their applications.

Primary author

Prof. Juri Hinz (UTS)

Presentation Materials