Natural gas-fired power plants valuation and optimization under Lévy copulas and regime switching
Year of publication: |
February 2017
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Authors: | Safarov, Nemat ; Atkinson, Colin |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 1, p. 1-38
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Subject: | Power plant | stochastic control | coupled HJB equations | Lévy copulas | regime switching | Stochastischer Prozess | Stochastic process | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Markov-Kette | Markov chain | Kraftwerk |
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