A class of short-term models for the oil industry that accounts for speculative oil storage
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Publication:2153528
DOI10.1007/s00780-022-00481-yzbMath1494.91139MaRDI QIDQ2153528
Jean-Michel Lasry, Pierre-Louis Lions, Yves Achdou, Charles Bertucci, José Alexandre Scheinkman, Antoine Rostand
Publication date: 5 July 2022
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-022-00481-y
boundary conditions linked to state constraints; economics of oil industry; major agent facing a crowd of physical arbitrageurs
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
49N80: Mean field games and control
91G15: Financial markets