An optimal trading problem in intraday electricity markets

DOI10.1007/s11579-015-0150-8zbMath1332.35363arXiv1501.04575OpenAlexW2127617434MaRDI QIDQ253117

Huyên Pham, Pierre Gruet, René Aïd

Publication date: 8 March 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.04575

zbMATH Keywords

jumpsdelayrenewable energyintraday electricity marketslinear-quadratic control problemoptimal trading

Mathematics Subject Classification ID

Quadratic programming (90C20) Application models in control theory (93C95) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Existence theories for optimal control problems involving partial differential equations (49J20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (9)

Optimal bidding functions for renewable energies in sequential electricity markets ⋮ Electricity Intraday Price Modelling with Marked Hawkes Processes ⋮ Equilibrium price in intraday electricity markets ⋮ Optimal Trading Policies for Wind Energy Producer ⋮ Modeling the intraday electricity demand in Germany ⋮ Intraday renewable electricity trading: advanced modeling and numerical optimal control ⋮ Price formation and optimal trading in intraday electricity markets ⋮ A deep reinforcement learning framework for continuous intraday market bidding ⋮ Price formation and optimal trading in intraday electricity markets

Cites Work

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• A generalized linear model approach to seasonal aspects of wind speed modeling
• Applied stochastic control of jump diffusions

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