Model Setting for Optimal Stopping and Singular Stochastic Control for Optimal Investment Strategy in Oil Field Project

  • C. P. Ogbogbo Department of Mathematics, University of Ghana, Legon

Abstract

Investing in projects involving huge financial risks demands great care. Dealing with market uncertainty and taking effective investment decision in oil field project, therefore, requires a reliable guide. The strategy emerged from addressing a problem involving an optimal stopping time with singular stochastic control for jump diffusions. The strategy identified two unique thresholds, one indicating when to apply the control and the other showing when to quit. Optimal strategy for investment in oil field project were obtained. Two particular cases of Brownian motion and Geometric Brownian motion are presented. The model is set to include jumps in the analysis: to obtain better investment strategies in oil field project.

Published
2018-09-28
Section
Articles

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eISSN: 0855-1448