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20162026
most citedEstimating fast mean-reverting jumps in electricity market models

2 citations · 3 across the 12 of their papers we have counts for

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math.PR2021

On the control of the difference between two Brownian motions: an application to energy markets modeling

Thomas Deschatre

We derive a model based on the structure of dependence between a Brownian motion and its reflection according to a barrier. The structure of dependence presents two states of corre…