Optimal Exploitation of a General Renewable Natural Resource under State and Delay Constraints

Abstract

In this work, we study an optimization problem arising in the management of a natural resource over an infinite time horizon. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager is allowed to harvest the resource and sell it at a stochastic market price modeled by a geometric Brownian process. We assume that there are delay constraints imposed on the decisions of the manager. More precisely, starting harvesting order and selling order are executed after a delay. By using the dynamic programming approach, we characterize the value function as the unique solution to an original partial differential equation. We complete our study with some numerical illustrations.

Keywords

• impulse control
• natural resource
• optimal harvesting
• execution delay
• viscosity solutions
• state constraints