We study an infinite-horizon stochastic control problem for the optimal exploitation of an exhaustible resource with unknown total reserves. Information is generated both endogenously through continued extraction without depletion and exogenously through an external information flow. This interaction makes the natural problem non-Markovian and time-inconsistent. We show that it nevertheless admits an equivalent time-consistent formulation with the same optimal controls. The associated value function is characterized as the unique viscosity solution of a stochastic Hamilton--Jacobi equation with random coefficients. We prove comparison on the infinite horizon through a Snell-envelope-based strict-contact argument and establish uniqueness by an independent Brownian regularization and a BSDE correction, avoiding piecewise Markovian approximations. Finally, we identify the deterministic benchmark and show that, under persistent reserve uncertainty, the rescaled stochastic value function converges to a pathwise deterministic control problem, with the long-run optimal extraction rate determined by the asymptotic hazard rate of the limiting reserve distribution.
This paper develops a finite-horizon stochastic optimal harvesting model that links constrained Hamilton-Jacobi-Bellman (HJB) control with a nonlinear Feynman-Kac/BSDE representation. Harvesting effort is bounded, yielding a projected feedback policy with lower-bound, interior, and upper-saturation regimes. Under appro...
Paramahansa Pramanik, F. Johora· Journal of Innovation· 0 citations
This paper is concerned with a stochastic optimal control problem under inside information. The control process depends on an $\mathcal{F}_{T_0}$-measurable random variable $Y$, representing the static inside information, and is adapted to the enlarged filtration generated by the underlying Brownian motion and the rand...
We investigate a class of backward stochastic differential equations (BSDEs) with at most quadratic growth which explode at a possibly unbounded random horizon, defined through the first hitting of zero of an adapted Ito process. In contrast with the classical theory of singular BSDEs, the explosion is generated by the...
We develop a framework for an investor who trades until she either reaches a financial goal or an exogenous deadline arrives. Analogous to utility functions over wealth, we measure satisfaction with the timing of reaching a goal by a discount function. For a continuous-time market where a stochastic factor drives the d...
Ge-Chun Liang, M. Strub, Yu-Wei Wang et al.· 0 citations
We study the infinite-horizon optimal investment and consumption problem in a general class of continuous financial markets, where uncertainty is driven by a continuous non-decreasing stochastic clock representing accumulated variance. This framework encompasses classical Markovian and non-Markovian stochastic volatili...
E. A. Jaber, Florian Gutekunst, Martin Herdegen et al.· 1 citation
We study the quadratic tracking problem of a general stochastic target process with absolutely continuous controls, with and without terminal constraint. We derive explicit, non-asymptotic upper bounds in terms of a Besov-type modulus of the target. These bounds yield sharp explicit rates that specialize to the square-...
Marcel Nutz, Moritz Voß· 0 citations
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