4 papers
Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem
Torben Koch, Tiziano Vargiolu
We consider a price-maker company which generates electricity and sells it in the spot market. The company can increase its level of installed power by irreversible installations o…
Universal Bounds and Monotonicity Properties of Ratios of Hermite and Parabolic Cylinder Functions
Torben Koch
We obtain so far unproved properties of a ratio involving a class of Hermite and parabolic cylinder functions. Those ratios are shown to be strictly decreasing and bounded by unive…
An Optimal Extraction Problem with Price Impact
Giorgio Ferrari, Torben Koch
A price-maker company extracts an exhaustible commodity from a reservoir, and sells it instantaneously in the spot market. In absence of any actions of the company, the commodity's…
On a Strategic Model of Pollution Control
Giorgio Ferrari, Torben Koch
This paper proposes a strategic model of pollution control. A firm, representative of the productive sector of a country, aims at maximizing its profits by expanding its production…