28 citations · 29 across the 2 of their papers we have counts for
2 papers
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.OC2014★ 28 cited
A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas an…