Competitive Storage and Commodity Price in Continuous Time

The competitive storage model is analyzed in the literature discrete time and applied for empirical studies of markets agricultural commodities. In this model, there a storable commodity supplied at every period with stochastic disturbances, are traders who aim making speculative profits by using their storage. has established results such as existence an equilibrium price function, which depends on current availability commodity. present article proposes extension to considering continuous time. relevance justified technical convenience it brings, well its suitability mineral series data available daily frequency. I consider serially correlated disturbances net supply together upper bound capacity, characterize function framework. no-arbitrage no-trade conditions define intertemporal choice imply function. "the long-term commodity" defined sum expected cumulative over infinite horizon. various cases dynamics, "full storage", "empty storage" trading zone", characterized. two types relevant full storage, revealed, explicit approximate solution case low-elastic demand derived. Numerical simulations dem on­strate effects parameters