On Optimal Harvesting in Stochastic Environments: Optimal Policies in a Relaxed Model

This paper examines the objective of optimally harvesting a single species in a stochastic environment. This problem has previously been analyzed in Alvarez (2000) using dynamic programming techniques and, due to the natural payoff structure of the price rate function (the price decreases as the population increases), no optimal harvesting policy exists. This paper establishes a relaxed formulation of the harvesting model in such a manner that existence of an optimal relaxed harvesting policy can not only be proven but also identified. The analysis embeds the harvesting problem in an infinite-dimensional linear program over a space of occupation measures in which the initial position enters as a parameter and then analyzes an auxiliary problem having fewer constraints. In this manner upper bounds are determined for the optimal value (with the given initial position); these bounds depend on the relation of the initial population size to a specific target size. The more interesting case occurs when the initial population exceeds this target size; a new argument is required to obtain a sharp upper bound. Though the initial population size only enters as a parameter, the value is determined in a closed-form functional expression of this parameter.Comment: Key Words: Singular stochastic control, linear programming, relaxed contro

On Necessary and Sufficient Conditions for Near-Optimal Singular Stochastic Controls

This paper is concerned with necessary and sufficient conditions for near-optimal singular stochastic controls for systems driven by a nonlinear stochastic differential equations (SDEs in short). The proof of our result is based on Ekeland's variational principle and some delicate estimates of the state and adjoint processes. This result is a generalization of Zhou's stochastic maximum principle for near-optimality to singular control problem.Comment: 19 pages, submitted to journa

Convexity theory for the term structure equation

Interest rate theory, Bond options, Convexity, Parameter monotonicity, Log-convexity, Log-concavity, Affine term structure, 91B28, 35K99, E43, G13,

Optimal strategies in a risky debt context

International audienc

Subjective evaluation of delayed risky outcomes for buying and selling positions: the behavioral approach

Willingness to accept (WTA), Willingness to pay (WTP), Intertemporal choice, Decision-making, Risk, Time discounting, C91, E43,