We address the valuation of an energy storage facility in the presence of stochastic energy prices as it arises in the case of a hydro-electric pump station. The valuation problem is related to the problem of determining the optimal charging\/discharging strategy that maximizes the expected value of the resulting discounted cash flows over the lifetime of the storage. We use a regime-switching model for the energy price which allows for a changing economic environment described by a finite state Markov chain. For the latter we consider the fully as well as the partially observed case.<\/p>\n
The valuation problem is formulated as a stochastic control problem with regime switching in continuous time. For this control problem we derive the associated Hamilton-Jacobi-Bellman (HJB) equation which is not strictly elliptic. Therefore we study the HJB equation using regularization arguments.<\/p>\n
We use numerical methods for computing approximations of the value function and the optimal strategy. Finally, we present some numerical results.<\/p>\n","protected":false},"excerpt":{"rendered":"
On Some Stochastic Optimal Control Problems for an Energy Storage Facility We address the valuation of an energy storage facility in the presence of stochastic energy prices as it arises […]<\/p>\n","protected":false},"author":335,"featured_media":0,"template":"","meta":{"_tribe_events_status":"","_tribe_events_status_reason":"","footnotes":""},"tags":[],"tribe_events_cat":[44],"class_list":["post-591","tribe_events","type-tribe_events","status-publish","hentry","tribe_events_cat-kolloquium-de","cat_kolloquium-de"],"_links":{"self":[{"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tribe_events\/591","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tribe_events"}],"about":[{"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/types\/tribe_events"}],"author":[{"embeddable":true,"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/users\/335"}],"version-history":[{"count":4,"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tribe_events\/591\/revisions"}],"predecessor-version":[{"id":596,"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tribe_events\/591\/revisions\/596"}],"wp:attachment":[{"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/media?parent=591"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tags?post=591"},{"taxonomy":"tribe_events_cat","embeddable":true,"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tribe_events_cat?post=591"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}