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math.OC2016★ 1 cited
Energy imbalance market call options and the valuation of storage
John Moriarty, Jan Palczewski
The use of energy storage to balance electric grids is increasing and, with it, the importance of operational optimisation from the twin viewpoints of cost and system stability. In…
math.OC2016★ 1 cited
Undiscounted optimal stopping with unbounded rewards
Jan Palczewski, Lukasz Stettner
We study optimal stopping of Feller-Markov processes to maximise an undiscounted functional consisting of running and terminal rewards. In a finite-time horizon setting, we extend…