PD Dr. John Schoenmakers
Prof. Dr. Vladimir Spokoiny
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.