  This paper studies the problem of optimally extracting nonrenewable natural
resources. Taking into account the fact that the market values of the main
natural resources i.e. oil, natural gas, copper,..., etc, fluctuate randomly
following global and seasonal macroeconomic parameters, the prices of natural
resources are modeled using Markov switching L\'evy processes. We formulate
this optimal extraction problem as an infinite-time horizon optimal control
problem. We derive closed-form solutions for the value function as well as the
optimal extraction policy. Numerical examples are presented to illustrate these
results.
