Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2407.08477 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866909250748416000 |
|---|---|
| author | Chen, Xinfu Dong, Yuchao Huang, Wenlin Liang, Jin |
| author_facet | Chen, Xinfu Dong, Yuchao Huang, Wenlin Liang, Jin |
| contents | In this paper, we consider a company can simultaneously reduce its emissions and buy carbon allowances at any time. We establish an optimal control model involving two stochastic processes with two control variables, which is a singular control problem. This model can then be converted into a Hamilton-Jacobi-Bellman (HJB) equation, which is a two-dimensional variational equality with gradient barrier, so that the free boundary is a surface. We prove the existence and uniqueness of the solution. Finally, some numerical results are shown. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2407_08477 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Optimal Carbon Emission Control With Allowances Purchasing Chen, Xinfu Dong, Yuchao Huang, Wenlin Liang, Jin Optimization and Control Mathematical Finance In this paper, we consider a company can simultaneously reduce its emissions and buy carbon allowances at any time. We establish an optimal control model involving two stochastic processes with two control variables, which is a singular control problem. This model can then be converted into a Hamilton-Jacobi-Bellman (HJB) equation, which is a two-dimensional variational equality with gradient barrier, so that the free boundary is a surface. We prove the existence and uniqueness of the solution. Finally, some numerical results are shown. |
| title | Optimal Carbon Emission Control With Allowances Purchasing |
| topic | Optimization and Control Mathematical Finance |
| url | https://arxiv.org/abs/2407.08477 |