Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem (Q2940773)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem |
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Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem (English)
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20 January 2015
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swing contracts
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energy markets
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stochastic control
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state constraints
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penalty methods
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dynamic programming
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HJB equation
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viscosity solutions
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