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

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Ph.D. course "The mathematics of energy…

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

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

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

stochastic control
hamilton-jacobi-bellman equation
dynamic programming
computationally simple trees
From  Tiziano Vargiolu 8 plays 0