Stochastic Shadow Pricing of Renewable Natural Resources
By means of stochastic optimal control, this paper aims at studying the shadow pricing of renewable natural resources in uncertainty. Two cases are considered, respectively centralized and decentralized control processes. The decentralized control is in the form of a stochastic control of the state...
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| Veröffentlicht in: | Environmental modeling & assessment 2019-02, Vol.24 (1), p.49-60 |
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| container_title | Environmental modeling & assessment |
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| creator | Dragicevic, Arnaud Z. |
| description | By means of stochastic optimal control, this paper aims at studying the shadow pricing of renewable natural resources in uncertainty. Two cases are considered, respectively centralized and decentralized control processes. The decentralized control is in the form of a stochastic control of the state vector distributed among several agents. In both cases, the optimal control path minimizing the cost function, which is a decreasing function of time, corresponds to the real option valuation. The latter is a cost-effective optional investment in the resource stock preservation in uncertainty. The results obtained from numerical simulations show coherence with those encountered in the literature on option pricing. |
| doi_str_mv | 10.1007/s10666-018-9599-1 |
| format | Article |
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| subjects | Applications of Mathematics Computer simulation Decentralized control Earth and Environmental Science Economic models Environment Environmental Sciences Math. Appl. in Environmental Science Mathematical Modeling and Industrial Mathematics Natural resources Numerical analysis Operations Research/Decision Theory Optimal control Preservation Pricing Renewable resources Shadow prices Shadows Simulation Stochastic processes Stochasticity Studies Uncertainty |
| title | Stochastic Shadow Pricing of Renewable Natural Resources |
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