Optimal Trading Policies for Wind Energy Producer

DOI10.1137/16M1093069zbMath1408.91246arXiv1610.04458OpenAlexW2951146772MaRDI QIDQ4635251

Zongjun Tan, Peter Tankov

Publication date: 16 April 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.04458

zbMATH Keywords

stochastic controlwind energyoptimal tradingforecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Optimal stochastic control (93E20) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Actuarial science and mathematical finance (91G99)

Related Items (4)

Equilibrium price in intraday electricity markets ⋮ Price formation and optimal trading in intraday electricity markets ⋮ A new approach to wind power futures pricing ⋮ Price formation and optimal trading in intraday electricity markets

Cites Work

• Making and Evaluating Point Forecasts
• An optimal trading problem in intraday electricity markets
• Hedging with temporary price impact
• Continuous-time stochastic control and optimization with financial applications
• A stochastic representation theorem with applications to optimization and obstacle problems.
• An example of indifference prices under exponential preferences
• Asymptotic utility-based pricing and hedging for exponential utility
• Exponential Hedging and Entropic Penalties
• Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem

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