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Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem. (English) Zbl 1308.91155

MSC:
91G20 Derivative securities (option pricing, hedging, etc.)
60H30 Applications of stochastic analysis (to PDEs, etc.)
49L25 Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
93E20 Optimal stochastic control
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