Optimal cross-border electricity trading

DOI10.1137/21M1398537MaRDI QIDQ5065091zbMATH OpenOpenAlexFDO

Authors Álvaro Cartea, Maria Flora, Georgi Slavov, Tiziano Vargiolu

Publication date 18 March 2022

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/21m1398537

zbMATH Keywords

stochastic optimal controlelectricity networkco-integrationcross-border price impactelectricity interconnector

Mathematics Subject Classification ID

Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Optimal stochastic control (93E20) Trade models (91B60)

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• scientific article; zbMATH DE number 1156422 (Why is no real title available?)
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• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

Cited in

(1)

• The EU regulation on cross-border trade of electricity: a two-stage equilibrium model

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