An optimal trading problem in intraday electricity markets
Date
2016Dewey
Economie de l'énergieSujet
Optimal trading, power plant, intraday electricity markets, renewable energy,market impact, linear-quadratic control problem, jumps, delay.JEL code
Q.Q4.Q40; Q.Q0.Q02; G.G1.G11Journal issue
Mathematics and Financial EconomicsVolume
10Publication date
2016Article pages
49-85Publisher
SpringerCollections
Metadata
Show full item recordAuthor
Aïd, René
559342 Laboratoire d'Economie de Dauphine [LEDa]
Gruet, Pierre
Pham, Huyên
1004954 Laboratoire de Probabilités, Statistiques et Modélisations [LPSM (UMR_8001)]