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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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書目詳細資料
Main Authors:	Ranjbari, Leyla, Bahar, Arifah, Abd Aziz, Zainal
格式:	Article
語言:	English
出版:	Ibnu Sina Institute for Fundamental Science Studies, Universiti Teknologi Malaysia 2012
主題:	QA Mathematics
在線閱讀:	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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