A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets

DOI10.1137/22m1527246zbMath1530.91446arXiv2210.03045OpenAlexW4387674034MaRDI QIDQ6070671

Erhan Bayraktar, Unnamed Author, Asaf Cohen

Publication date: 23 November 2023

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

Full work available at URL: https://arxiv.org/abs/2210.03045

zbMATH Keywords

Monte Carlo algorithmoptimal switchingdeep neural networksplanning problemsoptimal investment in power generationforward-backward systems of stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Numerical solutions to stochastic differential and integral equations (65C30)

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