PD Dr. John Schoenmakers
Prof. Dr. Vladimir Spokoiny
Duration: 01.06.2014 - 31.05.2017
The project aims at developing numerical methods for the solution of complex optimal control problems arising in energy production, storage, and trading on energy markets.
As a first step, we implement a Monte-Carlo approach to a hydro-electricity production and storage problem coupled with a stochastic model of the electricity market.
Further we develop algorithms for pricing of complex energy derivatives based on the dual martingale approach.