Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates

DOI10.1007/s00186-019-00665-xzbMath1417.91209arXiv1803.08166OpenAlexW2964122451MaRDI QIDQ2311124

Matteo Basei

Publication date: 10 July 2019

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.08166

zbMATH Keywords

impulse controlsasymptotic estimatesquasi-variational inequalityenergy marketsprice management

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items

Nonzero-Sum Stochastic Games and Mean-Field Games with Impulse Controls, Nonzero-sum stochastic differential games between an impulse controller and a stopper, Impulse control of conditional McKean-Vlasov jump diffusions, Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets, A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games, Nash equilibria in nonzero-sum differential games with impulse control, Regression Monte Carlo for impulse control

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