IJPAM: Volume 39, No. 2 (2007)

ON STOCHASTIC MODEL OF COMMON PROPERTY
RESOURCE ECONOMY AND RUIN PROBABILITY

Masatoshi Fujisaki$^1$, Seiichi Katayama$^2$, Dewei Zhang$^3$
$^{1,3}$Department of Business Administration
University of Hyogo
8-2-1, Gakuen-Nishimachi, Nishi-ku, Kobe, 651-2197, JAPAN
$^1$e-mail: fujisaki@biz.u-hyogo.ac.jp
$^3$e-mail: zdw1974@hotmail.com
$^{2}$RIEB, Kobe University
2 Rokkodai, Nada-ku, Kobe, JAPAN
e-mail: katayama@rieb.kobe-u.ac.jp


Abstract.In [2], Fujisaki, Katayama and Ohta presented a model of exploitation of a common property resource and private capital accumulation with random jumps. In this paper, we extend their results to the case where the stock process is governed by the Lévy process. Moreover, we shall generalize the original Long and Katayama model in [4] to the one where the common property resource is renewable.

Received: April 9, 2007

AMS Subject Classification: 60G51, 65C40, 93E20

Key Words and Phrases: economic model, Levý process, optimal control, computational Markov chains

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2007
Volume: 39
Issue: 2