Książka Selected Problems of Stochastic Optimisation under Uncertainty Vadim Omelcenko

Selected Problems of Stochastic Optimisation under Uncertainty

Język: Angielski
Oprawa: Miękka
Dostępność: Dostępna u dostawcy
Wysyłamy za 5-8 dni
122.51
In this work, we analyse heavy tailed distributions with most emphasis on stable distributions, deal...

Informacje o książce

Język
Angielski
Oprawa
Książka - Miękka
Data wydania
2016
strony
120
EAN
9783330013803
Enbook ID
15535173
Waga
197
Wymiary
150 x 220 x 7

Pełny opis

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.

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