Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem (Q2940773)
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scientific article
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| English | Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem |
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Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem (English)
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20 January 2015
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swing contracts
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energy markets
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stochastic control
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state constraints
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penalty methods
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dynamic programming
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HJB equation
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viscosity solutions
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0.8393476009368896
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0.8236459493637085
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0.8100293874740601
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0.8099352121353149
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0.7907682061195374
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