A semi-Lagrangian approach for natural gas storage valuation and optimal operation

SIAM Journal on Scientific Computing

Volumn 30, Issue 1, 2007, Pages 339-368

  Chen, Zhuliang ^a   Forsyth, Peter A ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Gas storage; HJB equation; Semi Lagrangian; Stochastic control; Viscosity solution

Indexed keywords

COSTS; FINITE DIFFERENCE METHOD; LAGRANGE MULTIPLIERS; NATURAL GAS; STOCHASTIC CONTROL SYSTEMS; VISCOSITY;

CONTROL PROBLEMS; GAS STORAGE; HAMILTON JACOBI BELLMAN EQUATION; LAGRANGIAN APPROACHES; NATURAL GAS STORAGE; OPTIMAL OPERATION; SEMI-LAGRANGIAN; STOCHASTIC CONTROL; STORAGE FACILITIES; VISCOSITY SOLUTIONS;

STOCHASTIC SYSTEMS;

EID: 44649111948     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/060672911     Document Type: Article

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