OPTIMAL CONTROL OF AN ENERGY STORAGE FACILITY UNDER A CHANGING ECONOMIC ENVIRONMENT AND PARTIAL INFORMATION

DOI10.1142/S0219024916500266zbMath1396.91819arXiv1602.04662MaRDI QIDQ2814673

Anton A. Shardin, Michaela Szölgyenyi

Publication date: 22 June 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1602.04662

zbMATH Keywords

stochastic differential equationhidden Markov modeldegenerate diffusiondiscontinuous driftenergy storage optimization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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