Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes (Q3174918)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes |
scientific article |
Statements
Natural gas storage valuation and optimization under time-inhomogeneous exponential Lévy processes (English)
0 references
18 July 2018
0 references
gas storage
0 references
stochastic control
0 references
HJB equation
0 references
independent increment process
0 references
mean-reversion
0 references
0 references
0 references
0 references
0 references
0 references
0 references
