Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes

DOI10.1080/00207160.2016.1168518zbMath1394.35528OpenAlexW3124358465WikidataQ115552433 ScholiaQ115552433MaRDI QIDQ3174918

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Publication date: 18 July 2018

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/38631

zbMATH Keywords

stochastic controlHJB equationmean-reversionindependent increment processgas storage

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Probabilistic models, generic numerical methods in probability and statistics (65C20) Auctions, bargaining, bidding and selling, and other market models (91B26) Discrete approximations in optimal control (49M25) Hamilton-Jacobi equations (35F21) Integro-partial differential equations (35R09) PDEs in connection with control and optimization (35Q93)

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