Optimal extraction with an impact on diffusion-jump pricing
Fuente:
arXiv
Guardado en:
| Autores principales: | , , |
|---|---|
| Formato: | Preprint |
| Publicado: |
2026
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866914349739671552 |
|---|---|
| author | Garzón, Johanna Rodríguez, Jhonatan S. Mora Moreno-Franco, Harold A. |
| author_facet | Garzón, Johanna Rodríguez, Jhonatan S. Mora Moreno-Franco, Harold A. |
| contents | We study an optimal extraction problem where the agent's actions in the spot market exert an additive proportional negative impact on the commodity price. The commodity price dynamics, prior to any activity by the agent, are evolved by a drifted Brownian motion with jumps. The agent's primary aim is to identify an optimal extraction strategy that maximizes their expected net profits. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2602_21274 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Optimal extraction with an impact on diffusion-jump pricing Garzón, Johanna Rodríguez, Jhonatan S. Mora Moreno-Franco, Harold A. Optimization and Control We study an optimal extraction problem where the agent's actions in the spot market exert an additive proportional negative impact on the commodity price. The commodity price dynamics, prior to any activity by the agent, are evolved by a drifted Brownian motion with jumps. The agent's primary aim is to identify an optimal extraction strategy that maximizes their expected net profits. |
| title | Optimal extraction with an impact on diffusion-jump pricing |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2602.21274 |