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A state constrained stochastic control problem. Application to optimal exercise of swing contracts in energy markets.

Zidani, Hasnaa

A state constrained stochastic control problem. Application to optimal exercise of swing contracts in energy markets. Hamilton-Jacobi approach for some stochastic control problems with state constraints - Rio de Janeiro: IMPA, 2016. - video online

Talk.

Subjects--Topical Terms:
Matematica.

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