A stochastic optimal stopping model for storable commodity prices

DOI10.1016/j.spl.2023.109941zbMath1525.60050OpenAlexW4386992708MaRDI QIDQ6067027

Hojatollah Adibi, Hirbod Assa, Nader Karimi, Erfan Salavati

Publication date: 14 December 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2023.109941

zbMATH Keywords

stochastic differential equationfixed pointoptimal stoppingequilibrium

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24) Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial mathematics (91G05)

Cites Work

• On time-inconsistent stochastic control in continuous time
• The empirical relevance of the competitive storage model
• On the behavior of commodity prices when speculative storage is bounded
• Estimating the term structure of commodity market preferences
• The value of flexible selling: power production with storage for spinning reserve provision
• Gas Storage Hedging
• On the Behaviour of Commodity Prices
• A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
• Time-Inconsistent Control Theory with Finance Applications
• Stochastic differential equations. An introduction with applications.

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