Universiti Teknologi Malaysia Institutional Repository

Some numerical methods for solving stochastic impulse control in natural gas storage facilities

Ranjbari, Leyla and Bahar, Arifah and Abd Aziz, Zainal (2012) Some numerical methods for solving stochastic impulse control in natural gas storage facilities. Malaysian Journal of Fundamental and Applied Sciences (MJFAS), 8 (1). pp. 31-37. ISSN 1823-626X

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Official URL: http://mjfas.ibnusina.utm.my/index.php/jfs/article...

Abstract

The valuation of gas storage facilities is characterized as a stochastic impulse control problem with finite horizon resulting in Hamilton-Jacobi-Bellman (HJB) equations for the value function. In this context the two catagories of solving schemes for optimal switching are discussed in a stochastic control framework. We reviewed some numerical methods which include approaches related to partial differential equations (PDEs), Markov chain approximation, nonparametric regression, quantization method and some practitioners’ methods. This paper considers optimal switching problem arising in valuation of gas storage contracts for leasing the storage facilities, and investigates the recent developments as well as their advantages and disadvantages of each scheme based on dynamic programming principle (DPP)

Item Type:Article
Additional Information:UTM Open Access Journal
Uncontrolled Keywords:gas storage facility, stochastic impulse control problems, optima, switching, optimal stopping time, semi-lagrangian scheme, HJB equation, viscosity solution
Subjects:Q Science > QA Mathematics
Divisions:Science
ID Code:29091
Deposited By: Siti Norfaridatul Azian Che Soh
Deposited On:21 Feb 2013 08:17
Last Modified:17 Oct 2017 04:23

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