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arXiv · 2602.21274

Optimal extraction with an impact on diffusion-jump pricing

Johanna Garzón·Jhonatan S. Mora Rodríguez·Harold A. Moreno-Franco
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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.

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Johanna Garzón, Jhonatan S. Mora Rodríguez, Harold A. Moreno-Franco. 2026-02-24. Optimal extraction with an impact on diffusion-jump pricing. https://arxiv.org/abs/2602.21274

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