dc.date.accessioned | 2013-03-12T08:18:55Z | |
dc.date.available | 2013-03-12T08:18:55Z | |
dc.date.issued | 2001 | en_US |
dc.date.submitted | 2010-02-19 | en_US |
dc.identifier.uri | http://hdl.handle.net/10852/10690 | |
dc.description.abstract | The problem of irreversibly harvesting from a general one dimensional (Wiener-Poisson) jump diffusion population model is studied. For a wide class of models, including stochastic generalizations of the logistic model earlier studied by Lungu & Øksendal (1997) and Alvarez & Shepp (1998), the optimal strategy is a downwards local time reflection at a trigger level x*. Both these works find that this trigger level is higher than of the corresponding deterministic problem; we show that this property depends crucially upon the uncertainty being Brownian. Furthermore, we give conditions under which jump uncertainty also increases x* compared to the deterministic model. | eng |
dc.language.iso | eng | en_US |
dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
dc.rights | © The Author(s) (2001). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
dc.title | JUMP UNCERTAINTY VERSUS BROWNIAN NOISE IN STOCHASTIC OPTIMAL HARVESTING MODELS | en_US |
dc.type | Research report | en_US |
dc.date.updated | 2010-02-19 | en_US |
dc.rights.holder | Copyright 2001 The Author(s) | |
dc.creator.author | Framstad, Nils Christian | en_US |
dc.subject.nsi | VDP::410 | en_US |
dc.identifier.urn | URN:NBN:no-24278 | en_US |
dc.type.document | Forskningsrapport | en_US |
dc.identifier.duo | 99377 | en_US |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10690/1/pm03-01.pdf | |