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...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Ibnu Sina Institute for Fundamental Science Studies, Universiti Teknologi Malaysia
2012
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| Subjects: | |
| Online Access: | http://eprints.utm.my/id/eprint/29091/1/ZainalAbd%20Aziz2012_Some%20numerical%20methods%20for%20solving%20stochastic.pdf http://eprints.utm.my/id/eprint/29091/ http://mjfas.ibnusina.utm.my/index.php/jfs/article/viewFile/267/192 |
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