[图书][B] Optimal switching with applications to energy tolling agreements

M Ludkovski - 2005 - search.proquest.com
We consider the problem of optimal switching with finite horizon. This special case of
stochastic impulse control naturally arises during analysis of operational flexibility of exotic
energy derivatives. The current practice for such problems relies on Markov decision
processes that have poor dimension-scaling properties, or on strips of spark spread options
that ignore the operational constraints of the asset.

[引用][C] Optimal switching with applications to energy tolling agreements

R Carmona, M Ludkovski - preprint, 2005
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