Numerical solution of a nonlinear PDE model for pricing renewable energy certificates (RECs)

DOI10.1016/J.AMC.2021.126199MaRDI QIDQ2243196zbMATH OpenOpenAlexWikidataFDO

Authors María A. Baamonde-Seoane, Michael Coulon, Carlos Vázquez, M. Carmen Calvo-Garrido

Publication date 11 November 2021

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/j.amc.2021.126199

zbMATH Keywords

duality methodfinite differencesmaximal monotone operatornon-linear PDErenewable energy certificatessemi-Lagrangian method

Mathematics Subject Classification ID

Elliptic equations and elliptic systems (35Jxx) Numerical methods for ordinary differential equations (65Lxx) Foundations, constitutive equations, rheology, hydrodynamical models of non-fluid phenomena (76Axx) Incompressible viscous fluids (76Dxx) Basic methods in fluid mechanics (76Mxx)

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Cites work

• A duality method for the compressible Reynolds equation. application to simulation of read/write processes in magnetic storage devices
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• Finite elements and characteristics for some parabolic-hyperbolic problems
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• scientific article; zbMATH DE number 3806227 (Why is no real title available?)
• Leader-follower equilibria for electric power and \(\text{NO}_x\) allowances markets
• Market design for emission trading schemes
• Martingales and stochastic integrals in the theory of continuous trading
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• Numerical methods to solve PDE models for pricing business companies in different regimes and implementation in GPUs
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• Numerical solution of variational inequalities for pricing Asian options by higher order Lagrange--Galerkin methods
• On stochastic differential equations
• Singular forward-backward stochastic differential equations and emissions derivatives

Cited in

(2)

• Pricing renewable energy certificates with a Crank-Nicolson Lagrange-Galerkin numerical method
• Model and numerical methods for pricing renewable energy certificate derivatives

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