Gaussian Volterra processes as models of electricity markets

DOI10.1137/23m1617370MaRDI QIDQ6648326

Tiziano Vargiolu, Stefania Ottaviano, Yuliya S. Mishura

Publication date: 4 December 2024

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

zbMATH Keywords

fractional Brownian motionstochastic controlutility maximizationelectricity marketsGaussian Volterra processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Financial markets (91G15)

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