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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: Ranjbari, Leyla, Bahar, Arifah, Abd Aziz, Zainal
Format: Article
Language:English
Published: Ibnu Sina Institute for Fundamental Science Studies, Universiti Teknologi Malaysia 2012
Subjects:
QA Mathematics
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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spelling my.utm.290912017-10-17T04:23:39Z http://eprints.utm.my/id/eprint/29091/ Some numerical methods for solving stochastic impulse control in natural gas storage facilities Ranjbari, Leyla Bahar, Arifah Abd Aziz, Zainal QA Mathematics 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 control framework. We reviewed some numerical methods which include approaches related to partial differential equations (PDEs), Markov chain approximation, nonparametric regression, quantization method and some practitioners’ methods. This paper considers optimal switching problem arising in valuation of gas storage contracts for leasing the storage facilities, and investigates the recent developments as well as their advantages and disadvantages of each scheme based on dynamic programming principle (DPP) Ibnu Sina Institute for Fundamental Science Studies, Universiti Teknologi Malaysia 2012 Article PeerReviewed application/pdf en http://eprints.utm.my/id/eprint/29091/1/ZainalAbd%20Aziz2012_Some%20numerical%20methods%20for%20solving%20stochastic.pdf Ranjbari, Leyla and Bahar, Arifah and Abd Aziz, Zainal (2012) Some numerical methods for solving stochastic impulse control in natural gas storage facilities. Malaysian Journal of Fundamental and Applied Sciences (MJFAS), 8 (1). pp. 31-37. ISSN 1823-626X http://mjfas.ibnusina.utm.my/index.php/jfs/article/viewFile/267/192
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Ranjbari, Leyla
Bahar, Arifah
Abd Aziz, Zainal
Some numerical methods for solving stochastic impulse control in natural gas storage facilities
description 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 control framework. We reviewed some numerical methods which include approaches related to partial differential equations (PDEs), Markov chain approximation, nonparametric regression, quantization method and some practitioners’ methods. This paper considers optimal switching problem arising in valuation of gas storage contracts for leasing the storage facilities, and investigates the recent developments as well as their advantages and disadvantages of each scheme based on dynamic programming principle (DPP)
format Article
author Ranjbari, Leyla
Bahar, Arifah
Abd Aziz, Zainal
author_facet Ranjbari, Leyla
Bahar, Arifah
Abd Aziz, Zainal
author_sort Ranjbari, Leyla
title Some numerical methods for solving stochastic impulse control in natural gas storage facilities
title_short Some numerical methods for solving stochastic impulse control in natural gas storage facilities
title_full Some numerical methods for solving stochastic impulse control in natural gas storage facilities
title_fullStr Some numerical methods for solving stochastic impulse control in natural gas storage facilities
title_full_unstemmed Some numerical methods for solving stochastic impulse control in natural gas storage facilities
title_sort some numerical methods for solving stochastic impulse control in natural gas storage facilities
publisher Ibnu Sina Institute for Fundamental Science Studies, Universiti Teknologi Malaysia
publishDate 2012
url 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
_version_ 1643648228516691968
score 13.211869

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