10 citations · 18 across the 14 of their papers we have counts for
6 papers · 1 filter
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 installation of renewable electricity sources: the case of Italy
Almendra Awerkin, Tiziano Vargiolu
Starting from the model in Koch-Vargiolu (2019), we test the real impact of current renewable installed power in the electricity price in Italy, and assess how much the renewable i…
Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem
Torben Koch, Tiziano Vargiolu
We consider a price-maker company which generates electricity and sells it in the spot market. The company can increase its level of installed power by irreversible installations o…
Optimal management of pumped hydroelectric production with state constrained optimal control
Athena Picarelli, Tiziano Vargiolu
We present a novel technique to solve the problem of managing optimally a pumped hydroelectric storage system. This technique relies on representing the system as a stochastic opti…
On the Singular Control of Exchange Rates
Giorgio Ferrari, Tiziano Vargiolu
Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign cu…
Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem
M. Basei, A. Cesaroni, T. Vargiolu
We characterize the value of swing contracts in continuous time as the unique viscosity solution of a Hamilton-Jacobi-Bellman equation with suitable boundary conditions. The case o…