相关论文: Optimal price management in retail energy markets:…

We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…

In the present work we tackle the problem of finding the optimal price tariff to be set by a risk-averse electric retailer participating in the pool and whose customers are price-sensitive. We assume that the retailer has access to a…

When sales of a product are affected by randomness in demand, retailers can use dynamic pricing strategies to maximise their profits. In this article the pricing problem is formulated as a stochastic optimal control problem, where the…

We study a problem of an online retailer who observes the unit sales of a product, and dynamically changes the retail price, in order to maximize the expected revenue. Assuming the demand of the product is price sensitive, we are interested…

We consider the problem of planning the aggregate energy consumption for a set of thermostatically controlled loads for demand response, accounting price forecast trajectory and thermal comfort constraints. We address this as a…

In this paper, we consider a realistic and meaningful scenario in the context of smart grids where an electricity retailer serves three different types of customers, i.e., customers with an optimal home energy management system embedded in…

We consider an optimal stochastic impulse control problem over an infinite time horizon motivated by a model of irreversible investment choices with fixed adjustment costs. By employing techniques of viscosity solutions and relying on…

We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…

We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the…

We consider a network of residential heating systems in which several prosumers satisfy their heating and hot water demand using solar thermal collectors and services of a central producer. Overproduction of heat can either be stored in a…

We consider a scenario where a retailer can set different prices for different consumers in a smart grid. The retailer's objective is to maximize the revenue, minimize the operating cost, and maximize the consumer's welfare. The retailer…

We study a single risky financial asset model subject to price impact and transaction cost over an infinite horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in fixed…

The problem of dynamic pricing of electricity in a retail market is considered. A Stackelberg game is used to model interactions between a retailer and its customers; the retailer sets the day-ahead hourly price of electricity and consumers…

Pricing financial or real options with arbitrary payoffs in regime-switching models is an important problem in finance. Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in…

We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…

Electricity prices and the end user net load vary with time. Electricity consumers equipped with energy storage devices can perform energy arbitrage, i.e., buy when energy is cheap or when there is a deficit of energy, and sell it when it…

We consider the profit-maximization problem solved by an electricity retailer who aims at designing a menu of contracts. This is an extension of the unit-demand envy-free pricing problem: customers aim to choose a contract maximizing their…

We consider an agent who invests in a stock and a money market account with the goal of maximizing the utility of his investment at the final time T in the presence of a proportional transaction cost. The utility function considered is…

Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…

This paper focuses on price-based residential demand response implemented through dynamic adjustments of electricity prices during DR events. It extends existing DR models to a stochastic framework in which customer response is represented…