Time-inhomogeneous polynomial processes in electricity spot price models

MaRDI QIDQ5370490zbMATH OpenFDO

Authors María Fernanda del Carmen Agoitia Hurtado

Publication date 20 October 2017

Full work available at URL http://d-nb.info/1140735438/34, https://freidok.uni-freiburg.de/data/13087

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Generalizations of martingales (60G48) Microeconomic theory (price theory and economic markets) (91B24) General theory of stochastic processes (60G07)

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Cited in

(3)

• Time-inhomogeneous polynomial processes
• Infinitesimal generators for a family of polynomial processes -- an algebraic approach
• Polynomial processes for power prices

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