Stochastic control problems in energy markets
In this thesis we analyse stochastic control problems for the valuation of a natural gas storage facility and natural gas-fi red power station while taking into account their operating characteristics. In the gas storage problem the underlying spot price dynamics is a mean-reverting process driven b...
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Imperial College London
2016
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.733154 |