A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation

DOI10.1137/060672911zbMath1159.65352OpenAlexW1985124402MaRDI QIDQ3614824

Zhuliang Chen, Peter A. I. Forsyth

Publication date: 10 March 2009

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/7c2bd0e9893edd7c8debb4d76fa5a61edf4048a7

zbMATH Keywords

viscosity solutionstochastic controlHJB equationsemi-Lagrangiangas storage

Mathematics Subject Classification ID

Control/observation systems governed by partial differential equations (93C20) Finite difference methods for boundary value problems involving PDEs (65N06) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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