Koch, Torben: On some Stochastic Control Problems arising in Environmental Economics and Commodity Markets. 2020
Inhalt
- Introduction
- Strategic Pollution Control
- Introduction
- Setting and Problem Formulation
- Solving the Strategic Pollution Control Problem
- A Numerical Example and Comparative Statics
- Conclusions
- Optimal Extraction Problem with Price Impact
- Introduction
- Setting and Problem Formulation
- Preliminary Results and a Verification Theorem
- Constructing the Optimal Solution
- The Case of a Drifted Brownian Motion Fundamental Price
- The Case of a Mean-Reverting Fundamental Price
- Comparative Statics Analysis
- Sensitivity Analysis in the Case of a Drifted Brownian Motion Fundamental Price
- Sensitivity Analysis in the Case of an Ornstein-Uhlenbeck Fundamental Price
- Conclusions
- Properties of Ratios of Hermite and Parabolic Cylinder Functions
- Optimal Installation of Solar Panels with Price Impact
- Introduction
- Model and Problem Formulation
- A Verification Theorem
- Constructing an Optimal Solution to the Installation Problem
- The Free Boundary: Existence and Characterization
- The Optimal Strategy and the Value Function: Verification
- A Related Optimal Stopping Problem
- Numerical Implementation
- Conclusions
- Facts and Properties of the Ornstein-Uhlenbeck Process
- Supplemental Material for Chapter 2
- Supplemental Material for Chapter 4
- Bibliography