Work

Optimal harvest under a Gilpin–Ayala model driven by the Hawkes process

Year: 2025

Type: article

Abstract: This paper analyzes the optimal effort for a risk-averse fisherman where the biomass process follows a Hawkes jump–diffusion process with Gilpin–Ayala drift. The main feature of the Hawkes process is to capture the phenomenon of clustering. The price process is of the mean-reverting type. We prove a sufficient maximum principle for the optimal control of a stochastic system consisting of an SDE driven by the Hawkes process and, by the concavity of the Hamiltonian, we obtain the optimal effort of the fisherman for a risk-averse investor.

Source: Results in Applied Mathematics

DOI: 10.1016/j.rinam.2025.100564

Authors: Nyassoke Titi Gaston Clément, Sadefo Kamdem Jules, Fono Louis Aimé

Institutions: Université de Bertoua, Université de Montpellier, University of Douala

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $1,770

OpenAlex ID: W4408557735

FWCI:

Cites: 23

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Related to: 10