A stochastic model for optimal harvesting of two competing species

Bernt Øksendal

Dept of Mathematics, University of Oslo, Norway

Abstract

We consider two competing populations described by a coupled system of two stochastic differential equations and ask for an optimal harvesting strategy. I.e., we ask for a harvesting strategy which maximizes the expected value of the total discounted weighted volume harvested. The problem is formulated as a singular stochastic control problem and studied using the corresponding Hamilton-Jacobi-Bellman equation and local time. The talk is based on joint work with Edward Lungu, University of Botswana.