Commodity Resource Valuation And Extraction: A Pathwise Programming   Approach
  Complexity and uncertainty associated with commodity resource valuation and extraction requires stochastic control methods suitable for high dimensional states. Recent progress in duality and trajectory-wise techniques has introduced a variety of fresh ideas to this field with surprising results. This paper presents a first application of this promising development to commodity extraction problems. We introduce efficient algorithms for obtaining approximate solutions along with a diagnostic technique, which provides a quantitative measure for solution performance in terms of the distance between the approximate and the optimal control policy. 
Juri Hinz, Tanya Tarnopolskaya and Jeremy Yee
math.OC