Ph.D. course "The mathematics of energy markets" - Lecture 6 - MediaSpace

Ph.D. course "The mathematics of energy markets" - Lecture 6

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Stochastic control in continuous time. Dynamic programming and the Hamilton-Jacobi-Bellman equation. Example: gas storage. Computationally simple trees for diffusions.

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Ph.D. course "The mathematics of energy markets" - Lecture 6

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