Event Detail

Event Type: 
Monday, June 10, 2019 - 13:00 to 14:00
Kidder 350

We will address stochastic control problems from three different directions. At the first part, we determine the optimal strategy to distribute the dividends, when the underlying capital follows SNLP (spectrally negative L´evy process) and discounting factor is an exponential L´evy process, generally based on Itˆo excursion theory. At the second part, we look at an Hamilton-Jacobi-Bellman equa- tion from a classical stochastic control problem. Considering the implicit derivatives’ constraints and free boundary, we develop a so- called ”Projected semismooth Newton with shooting-like method” and then provide corresponding (superlinear) convergence and error analysis. At the last part, we propose a new stochastic control model on optimally utilizing the renewable energy flexibility in the electricity market. We illustrate a new feasible strategy ”Curve strategy with trigger price” in a classical setting first. Then after establishing boundedness of value function and related verification lemma, we prove the existence and uniqueness of the optimal strategy in a more realistic setting via viscosity solution argument.