Modelling Multiperiod Carbon Markets Using Singular Forward-Backward SDEs

DOI10.1287/MOOR.2022.1269arXiv2008.09044OpenAlexW3068945438MaRDI QIDQ6199249

Dan Crisan, Hinesh Chotai, Jean-François Chassagneux

Publication date: 23 February 2024

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

Full work available at URL: https://arxiv.org/abs/2008.09044

zbMATH Keywords

decoupling fieldcarbon marketsforward-backward systemsemission trading systemsmarket stability reservemultiple compliance periods

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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