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math.PR2025
On the optimal stopping of Gauss-Markov bridges with random pinning points
Abel Azze, Bernardo D'Auria
We consider the optimal stopping problem for a Gauss-Markov process conditioned to adopt a prescribed terminal distribution. By applying a time-space transformation, we show it is…
stat.AP2025
Modelling a storage system of a wind farm with a ramp-rate limitation: a semi-Markov modulated Brownian bridge approach
Abel Azze, Guglielmo D'Amico, Bernardo D'Auria +1
We propose a new methodology to simulate the discounted penalty applied to a wind-farm operator by violating ramp-rate limitation policies. It is assumed that the operator manages…