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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.

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Lecture 1

Formulation of the problem with a motivating example. Heuristics for the value function and its link with a variational inequality. Verification theorem.

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