12 papers
Parameter estimation of integrated fractional Brownian motion
Marco Mastrogiovanni, Yuliya Mishura, Stefania Ottaviano +2
Fractional Brownian motion (fBm) is a canonical model for long-memory phenomena. In the presence of large amounts of potentially memory-bearing data, the data are often averaged, w…
Optimal energy storage management for self-consumption groups
Almendra Awerkin, Elena De Giuli, Tiziano Vargiolu
We study the optimal management of a photovoltaic system's battery owned by a self-consumption group that aims to minimize energy consumption costs. We assume that the photovoltaic…
Nash equilibrium in a singular stochastic game between two renewable power producers with price impact
Stefano Pagliarani, Antonello Pesce, Tiziano Vargiolu
We study the singular stochastic game, formulated in Awerkin and Vargiolu (Decis. Econ. Finance 44(2), 2021), between two agents aiming at maximizing their profits by installing ph…
Optimal Investment and Fair Sharing Rules of the Incentives for Renewable Energy Communities
Almendra Awerkin, Paolo Falbo, Tiziano Vargiolu
The focus on Renewable Energy Communities (REC) is fastly growing after the European Union (EU) has introduced a dedicated regulation in 2018. The idea of creating local groups of…
Gaussian Volterra processes as models of electricity markets
Yuliya Mishura, Stefania Ottaviano, Tiziano Vargiolu
We introduce a non-Markovian model for electricity markets where the spot price of electricity is driven by several Gaussian Volterra processes, which can be e.g., fractional Brown…
Efficient representation of supply and demand curves on day-ahead electricity markets
Mariia Soloviova, Tiziano Vargiolu
Our paper aims to model supply and demand curves of electricity day-ahead auction in a parsimonious way. Our main task is to build an appropriate algorithm to present the informati…