Volatility uncertainty quantification in a stochastic control problem applied to energy

DOI10.1007/s11009-019-09692-xzbMath1441.91074OpenAlexW2894593613MaRDI QIDQ2176387

Emmanuel Gobet, Jacques Printems, Francisco Bernal

Publication date: 4 May 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-019-09692-x

zbMATH Keywords

stochastic programmingstochastic controlMonte Carlo simulationschaos expansionuncertainty quantificationswing options

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation by polynomials (41A10)

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