Ph.D. course "The mathematics of energy…
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.
Ph.D. course "The mathematics of energy markets" - Lecture 1
Structured products in energy markets. Stochastic control in discrete time: dynamic programming principle and Bellman's equation.
Formulation of the problem with a motivating example. Heuristics for the value function and its link with a variational inequality. Verification theorem.