17 citations · 122 across the 28 of their papers we have counts for
4 papers · 1 filter
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…
Impulse control maximising average cost per unit time: a non-uniformly ergodic case
Jan Palczewski, Lukasz Stettner
This paper studies maximisation of an average-cost-per-unit-time ergodic functional over impulse strategies controlling a Feller-Markov process. The uncontrolled process is assumed…
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…
Bayesian calibration and number of jump components in electricity spot price models
Jhonny Gonzalez, John Moriarty, Jan Palczewski
We find empirical evidence that mean-reverting jump processes are not statistically adequate to model electricity spot price spikes but independent, signed sums of such processes a…