arXiv Analytics

Sign in

arXiv:1611.01492 [math.OC]AbstractReferencesReviewsResources

Optimal Oil Production under Mean Reverting Lévy Models with Regime Switching

Moustapha Pemy

Published 2016-11-04Version 1

This paper is concerned with the problem of finding the optimal of extraction policies of an oil field in light of various financial and economical restrictions and constraints. Taking into account the fact that the oil price in worldwide commodity markets fluctuates randomly following global and seasonal macro-economic parameters, we model the evolution of the oil price as a mean reverting regime switching jump diffusion process. We formulate this problem as finite-time horizon optimal control problem. We solve the control problem using the method of viscosity solutions. Moreover, we construct and prove the convergence of a numerical scheme for approximating the optimal reward function and the optimal extraction policy. A numerical example that illustrates these results is presented.

Comments: arXiv admin note: substantial text overlap with arXiv:1606.03388
Categories: math.OC
Related articles: Most relevant | Search more
arXiv:1906.03592 [math.OC] (Published 2019-06-09)
Verifying fundamental solution groups for lossless wave equations via stationary action and optimal control
arXiv:1704.04714 [math.OC] (Published 2017-04-16)
Optimal Oil Production and Taxation in Presence of Global Disruptions
arXiv:1904.00053 [math.OC] (Published 2019-03-29)
Adaptive Horizon Model Predictive Control and Al'brekht's Method