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Selected Problems of Stochastic Optimisation under Uncertainty

Name: Selected Problems of Stochastic Optimisation under Uncertainty
Brand: LAP Lambert Academic Publishing
SKU: 15535173
Price: 30.79 EUR
Availability: InStock
Author: Vadim Omelcenko
ISBN: 9783330013803

Vadim Omelcenko

Language

English

Book Paperback

Libristo code: 15535173

Publishers LAP Lambert Academic Publishing, November 2015

In this work, we analyse heavy tailed distributions with most emphasis on stable distributions, deal... Full description

Libristo code: 15535173

75 b

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In this work, we analyse heavy tailed distributions with most emphasis on stable distributions, deal with stochastic dominance, and apply these results in optimisation problems which arise from gas storage valuation. We use stochastic dynamic programming for solving this problem and deal with different price models, such as discretised price model with the stable transition matrix estimated from observations, Ornstein-Uhlenbeck, AR(1)- GARCH(1,1) models, etc. We take into account the feature that some European gas storage units are connected to several markets and translate it into our optimisation procedures. We also explore the role of tails in the problem of gas storage valuation and offer approaches for including stochastic dominance constraints.