Implications of a regime-switching model on natural gas storage valuation and optimal operation (Q5190131): Difference between revisions

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-Q175883
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+Peter A. I. Forsyth
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+https://doi.org/10.1080/14697680802374791
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+W2059549766
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@@ Property / cites work @@
+The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems
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+On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
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+A strong comparison result for the bellman equation arising in stochastic exit time control problems and its applications
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+Numerical methods for the pricing of swing options: a stochastic control approach
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+A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
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+A Regime-Switching Model of Long-Term Stock Returns
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+Valuation of Commodity-Based Swing Options
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+ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
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+Energy futures prices: term structure models with Kalman filter estimation
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+Numerical convergence properties of option pricing PDEs with uncertain volatility
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+Publication:5190131