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dc.contributor.authorAlvarez, Luis H.
dc.contributor.authorLungu, Edward
dc.contributor.authorØksendal, Bernt
dc.date.accessioned2017-11-16T08:57:41Z
dc.date.available2017-11-16T08:57:41Z
dc.date.created2016-01-19T09:37:37Z
dc.date.issued2016
dc.identifier.citationAfrika Matematika. 2016, 27 (3), 427-442.nb_NO
dc.identifier.issn1012-9405
dc.identifier.urihttp://hdl.handle.net/11250/2466585
dc.description.abstractWe prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capitaldependent utilities. The result is applied to solve explicitly some examples of such optimal harvesting/optimal dividend problems. In particular, we show that if the unit price decreases with population density, then the optimal harvesting policy may not exist in the ordinary sense, but can be expressed as a ”chattering policy”, i.e. the limit as ∆x and ∆t go to 0 of taking out a sequence of small quantities of size ∆x within small time periods of size ∆t.nb_NO
dc.language.isoengnb_NO
dc.subjectOptimal harvestingnb_NO
dc.subjectinteracting populationsnb_NO
dc.subjectItˆo diffusionsnb_NO
dc.subjectsingular stochastic controlnb_NO
dc.subjectdensity-dependent pricesnb_NO
dc.subjectchattering policiesnb_NO
dc.titleOptimal multi-dimensional stochastic harvesting with density-dependent pricesnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionacceptedVersionnb_NO
dc.source.pagenumber427-442nb_NO
dc.source.volume27nb_NO
dc.source.journalAfrika Matematikanb_NO
dc.source.issue3nb_NO
dc.identifier.doi10.1007/s13370-015-0357-0
dc.identifier.cristin1316717
dc.relation.projectNorges forskningsråd: 250768nb_NO
cristin.unitcode191,0,0,0
cristin.unitnameNorges Handelshøyskole
cristin.ispublishedtrue
cristin.fulltextpostprint
cristin.qualitycode1


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