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Optimal harvesting under resource stock and price uncertainty |
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| Institution: | 1. Department of Economics, Swedish University of Agricultural Sciences, Box 7013 (Johan Brauners väg 3), SE-75007 Uppsala, Sweden;2. Institute of Environmental Science and Technology (ICTA), Universitat Autònoma de Barcelona, Barcelona, Spain;1. Faculty of Applied Mathematics and Control Processes, Saint Petersburg State University, St. Petersburg, Russia;2. Institut für Mathematik und Informatik, Universität Greifswald, Walther-Rathenau-Straße 47, Greifswald 17487, Germany;3. Université Perpignan Via Domitia, IHPE UMR 5244, CNRS, Perpignan F-66860, France;4. Theoretical Biology and Biophysics Group, Los Alamos National Laboratory, Los Alamos, New Mexico, USA |
| Abstract: | We analyze partial and complete depletion harvesting policy under resource stock and price uncertainty and risk neutrality. We state a set of weak conditions under which the optimal policy can be characterized by a single threshold and show that the value can be expressed in a separable form where price volatility affects the value through the risk adjusted growth rate. Both higher price and stock volatility decrease the value when the correlation between the driving Brownian motions is negative. With no correlation the optimal policy is independent of price volatility while higher stock volatility increases the harvesting threshold. |
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