The forward dynamics in energy markets – infinite-dimensional modelling and simulation

DOI10.1080/17442508.2014.895359zbMath1337.91086OpenAlexW2035886550MaRDI QIDQ2811117

Fred Espen Benth, Andrea Barth

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/41887

zbMATH Keywords

random fieldsstochastic partial differential equationenergy marketsinfinite-dimensional analysisforward price

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items

Approximation and simulation of infinite-dimensional Lévy processes ⋮ Modelling Electricity Futures by Ambit Fields ⋮ Derivatives Pricing in Energy Markets: An Infinite-Dimensional Approach ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ Almost sure convergence of a Galerkin approximation for SPDEs of Zakai type driven by square integrable martingales

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