Stochastic optimization with dynamic probabilistic forecasts
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Publication:6549609
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Cites work
- An optimal trading problem in intraday electricity markets
- DYNAMIC PROBABILISTIC FORECASTING WITH UNCERTAINTY
- Intraday renewable electricity trading: advanced modeling and numerical optimal control
- Mathematical methods for financial markets.
- Mixture EMOS model for calibrating ensemble forecasts of wind speed
- Monte-Carlo valuation of American options: facts and new algorithms to improve existing methods
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Optimal trading policies for wind energy producer
- Price formation and optimal trading in intraday electricity markets
- Probabilistic Forecasts, Calibration and Sharpness
- Probabilistic wind speed forecasting using Bayesian model averaging with truncated normal components
- Processes of normal inverse Gaussian type
- Regression methods for stochastic control problems and their convergence analysis
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
- Uncertainty quantification in complex simulation models using ensemble copula coupling
- Valuing American options by simulation: a simple least-squares approach
- Wind energy: forecasting challenges for its operational management
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