3 papers
math.OC2025
Reinforcement Learning Methods for the Stochastic Optimal Control of an Industrial Power-to-Heat System
Eric Pilling, Martin Bähr, Ralf Wunderlich
The optimal control of sustainable energy supply systems, including renewable energies and energy storage, takes a central role in the decarbonization of industrial systems. Howeve…
math.OC2025
Cost-optimal Management of a Residential Heating System With a Geothermal Energy Storage Under Uncertainty
Paul Honore Takam, Ralf Wunderlich
In this paper, we consider a residential heating system with renewable and non-renewable heat generation and different consumption units and investigate a stochastic optimal contro…
q-fin.PM2024
Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion
Kerstin Lamert, Benjamin R. Auer, Ralf Wunderlich
This study evaluates the practical usefulness of continuous-time arbitrage strategies designed to exploit serial correlation in fractional financial markets. Specifically, we revis…