Optimal extraction with an impact on diffusion-jump pricing
Optimization and Control
2026-02-26 v1
Abstract
We study an optimal extraction problem where the agent's actions in the spot market exert an additive proportional negative impact on the commodity price. The commodity price dynamics, prior to any activity by the agent, are evolved by a drifted Brownian motion with jumps. The agent's primary aim is to identify an optimal extraction strategy that maximizes their expected net profits.
Keywords
Cite
@article{arxiv.2602.21274,
title = {Optimal extraction with an impact on diffusion-jump pricing},
author = {Johanna Garzón and Jhonatan S. Mora Rodríguez and Harold A. Moreno-Franco},
journal= {arXiv preprint arXiv:2602.21274},
year = {2026}
}