Some numerical methods for solving stochastic impulse control in natural gas storage facilities
The valuation of gas storage facilities is characterized as a stochastic impulse control problem with finite horizon resulting in Hamilton-Jacobi-Bellman (HJB) equations for the value function. In this context the two catagories of solving schemes for optimal switching are discussed in a stochastic...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Ibnu Sina Institute for Fundamental Science Studies, Universiti Teknologi Malaysia
2012
|
| Subjects: | |
| Online Access: | http://eprints.utm.my/29091/ http://eprints.utm.my/29091/ http://eprints.utm.my/29091/1/ZainalAbd%20Aziz2012_Some%20numerical%20methods%20for%20solving%20stochastic.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|