Real option valuation of a decremental regulation service provided by electricity storage

DOI10.1098/RSTA.2016.0300zbMath1404.90047OpenAlexW2736153167WikidataQ47426979 ScholiaQ47426979MaRDI QIDQ4561723

Randall Martyr, Dávid Zoltán Szabó

Publication date: 13 December 2018

Published in: Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.2016.0300

zbMATH Keywords

optimal stoppingOR in energyreal optionelectricity balancing reserveelectricity regulation services

Mathematics Subject Classification ID

Deterministic network models in operations research (90B10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of design theory to circuits and networks (94C30)

Related Items (1)

Optimal trading of imbalance options for power systems using an energy storage device

Cites Work

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• Capacity market design options: a dynamic capacity investment model and a GB case study
• Real option valuation for reserve capacity
• On the optimal stopping problem for one-dimensional diffusions.
• Optimal starting—stopping problems for markov–feller processes

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