Titlebook: Stochastics of Environmental and Financial Economics; Centre of Advanced S Fred Espen Benth,Giulia Di Nunno Conference proceedings‘‘‘‘‘‘‘‘

Cougar

certain

Multiple

https://doi.org/10.1007/978-3-319-23425-093E20, 91G80, 91G10, 91G20, 60H30, 60G07, 35R60, 49L25, 91B76; Control and Optimization; Energy Market

Rejuvenate

Risk-Sensitive Mean-Field Type Control Under Partial ObservationWe establish a stochastic maximum principle (SMP) for control problems of partially observed diffusions of mean-field type with risk-sensitive performance functionals.

原谅

PANT

Some Recent Developments in Ambit StochasticsStochastics, two topics are considered: (i) Methods of modelling and inference for volatility/intermittency processes and fields; (ii) Universal laws in turbulence and finance in relation to temporal processes. This review complements two other recent expositions.

Entrancing

Nonlinear Young Integrals via Fractional Calculus Feynman-Kac formula for stochastic heat equations with random coefficients (Hu and Lê, Nonlinear Young integrals and differential systems in Hölder media. Trans. Am. Math. Soc. (in press)). We also define iterated nonlinear integrals.

遗忘

Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Lévy Semista on so-called regime-switching Lévy semistationary processes to account for forward-looking information consisting of predicted wind power generation. We show that our new regime-switching model, where the regime switch depends on the so-called wind penetration index, can describe recent electricity price data well.

staging

大笑

Quantification of Model Risk in Quadratic Hedging in Financeumps which are driven by a Brownian motion and a Poisson random measure. We use this relation to prove that the strategies are robust towards the choice of the model for the market prices and to estimate the model risk.