2016/11/04 by Moustapha Pemy, Pemy, Moustapha
Economics, Econometrics and Finance · Energy · Engineering · #FOS: Mathematics #Field-Flow Fractionation Techniques #Global Energy and Sustainability Research #Market Dynamics and Volatility #Optimization and Control (math.OC)
paper · pdf · doi:10.48550/arxiv.1611.01492
openalex publication_date 2016/11/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper is concerned with the problem of finding the optimal of extraction\npolicies of an oil field in light of various financial and economical\nrestrictions and constraints. Taking into account the fact that the oil price\nin worldwide commodity markets fluctuates randomly following global and\nseasonal macro-economic parameters, we model the evolution of the oil price as\na mean reverting regime switching jump diffusion process. We formulate this\nproblem as finite-time horizon optimal control problem. We solve the control\nproblem using the method of viscosity solutions. Moreover, we construct and\nprove the convergence of a numerical scheme for approximating the optimal\nreward function and the optimal extraction policy. A numerical example that\nillustrates these results is presented.\n