Bernoulli

  • Bernoulli
  • Volume 7, Number 3 (2001), 527-539.

Optimal harvesting from interacting populations in a stochastic environment

Edward Lungu and Bernt øksendal

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Abstract

Consider n populations whose sizes are given by stochastic differential equations driven by m-dimensional Brownian motion. We study the following problem: what harvesting strategy from the n populations maximizes the expected total income from the harvest? We formulate this as a (singular) stochastic control problem and give sufficient conditions for the existence of an optimal strategy. Our results lead to the one-at-a-time principle that it is almost surely never optimal to harvest from more than one population at a time.

Article information

Source
Bernoulli, Volume 7, Number 3 (2001), 527-539.

Dates
First available in Project Euclid: 22 March 2004

Permanent link to this document
https://projecteuclid.org/euclid.bj/1080004764

Mathematical Reviews number (MathSciNet)
MR2002d:92014

Zentralblatt MATH identifier
1010.93107

Keywords
one-at-a-time principle optimal harvesting singular stochastic control stochastic systems variational inequalities verification theorem

Citation

Lungu, Edward; øksendal, Bernt. Optimal harvesting from interacting populations in a stochastic environment. Bernoulli 7 (2001), no. 3, 527--539. https://projecteuclid.org/euclid.bj/1080004764


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