We consider the valuation of energy storage facilities within the framework of stochastic control. Our two main examples are natural gas dome storage and hydroelectric pumped storage. Focusing on theâ€¦ (More)

We consider the valuation of gas storage on finite horizon. Focusing on the timing optionality of storage we construct a stochastic control model that reduces to solving an optimal switching problemâ€¦ (More)

We study the numerical solution of nonlinear partially observed optimal stopping problems. The system state is taken to be a multi-dimensional diffusion and drives the drift of the observationâ€¦ (More)

Management policies for disease outbreaks balance the expected morbidity and mortality costs versus the cost of intervention policies. We present a methodology for dynamic determination of optimalâ€¦ (More)

We study the optimal timing of derivative purchases in incomplete markets. In our model, an investor attempts to maximize the spread between her model price and the offered market price throughâ€¦ (More)

Theorem 1. If (Xt) is a Brownian motion, then there exist constants Î¼, Ïƒ 2 such that Xt âˆ’ Xs âˆ¼ N ((tâˆ’ s)/Î¼, (tâˆ’ s)Ïƒ). Proof. Without loss of generality take s = 0 and pick some n âˆˆ Z and write Xt âˆ’X0â€¦ (More)

Probabilistic Bisection Algorithm performs root finding based on knowledge acquired from noisy oracle responses. We consider the generalized PBA setting (G-PBA) where the statistical distribution ofâ€¦ (More)

Motivated by dramatic and unpredictable technological advances in energy production (for instance drilling and extraction of shale oil), we extend Cournot models of competition to incorporateâ€¦ (More)