VeranstaltungsortN.0.07Veranstalter Institut für StatistikBeschreibunghttps://www.math.aau.at/talks/27/pdfVortragende(r)Prof. Dr. Ralf Wunderlich von der Brandenburgischen Technischen Universität Cottbus – SenftenbergKontaktSimone Gahleitner (simone.gahleitner@aau.at)
VeranstaltungsortN.0.07Veranstalter Fakultät für Technische WissenschaftenBeschreibungWe address the valuation of an energy storage facility in the presence ofstochastic energy prices as it arises in the case of a hydro-electric pumpstation. The valuation problem is related to the problem of determining theoptimal charging/discharging strategy that maximizes the expected valueof the resulting discounted cash flows over the lifetime of the storage.We use a regime-switching model for the energy price which allows for achanging economic environment described by a finite state Markov chain.For the latter we consider the fully as well as the partially observed case.The valuation problem is formulated as a stochastic control problem withregimeswitching in continuous time. For this control problem we derive theassociated Hamilton-Jacobi-Bellman (HJB) equation which is not strictlyelliptic. Therefore we study the HJB equation using regularization arguments. We use numerical methods for computing approximations of thevalue function and the optimal strategy. Finally, we present some numericalresults. The talk is based on the paper Shardin, A. A., Wunderlich, R.:Partially Observable Stochastic Optimal Control Problems for an EnergyStorage. Stochastics, 89(1):280-310, 2017.Vortragende(r)Ralf WunderlichKontaktSimone Gahleitner (simone.gahleitner@aau.at)
