dc.date.accessioned | 2015-01-19T13:14:51Z | |
dc.date.available | 2015-10-24T22:30:50Z | |
dc.date.created | 2014-11-28T13:11:14Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Barth, Andrea Benth, Fred Espen . The forward dynamics in energy markets - infinite dimensional modeling and simulation. Stochastics: An International Journal of Probability and Stochastic Processes. 2014, 86(6), 932-966 | |
dc.identifier.uri | http://hdl.handle.net/10852/41887 | |
dc.description.abstract | In this paper an infinite-dimensional approach to model energy forward markets is introduced. Similar to the Heath–Jarrow–Morton framework in interest-rate modelling, a first-order hyperbolic stochastic partial differential equation models the dynamics of the forward price curves. These equations are analysed, and in particular regularity and no-arbitrage conditions in the general situation of stochastic partial differential equations driven by an infinite-dimensional martingale process are studied. Both arithmetic and geometric forward price dynamics are studied, as well as accounting for the delivery period of electricity forward contracts. A stable and convergent numerical approximation in the form of a finite element method for hyperbolic stochastic partial differential equations is introduced and applied to some examples with relevance to energy markets. | en_US |
dc.language | EN | |
dc.language.iso | en | en_US |
dc.title | The forward dynamics in energy markets - infinite dimensional modeling and simulation | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Barth, Andrea | |
dc.creator.author | Benth, Fred Espen | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk analyse, finans, forsikring og risiko | |
cristin.ispublished | true | |
cristin.fulltext | preprint | |
cristin.qualitycode | 1 | |
dc.identifier.cristin | 1178416 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastics: An International Journal of Probability and Stochastic Processes&rft.volume=86&rft.spage=932&rft.date=2014 | |
dc.identifier.jtitle | Stochastics: An International Journal of Probability and Stochastic Processes | |
dc.identifier.volume | 86 | |
dc.identifier.issue | 6 | |
dc.identifier.startpage | 932 | |
dc.identifier.endpage | 966 | |
dc.identifier.doi | http://dx.doi.org/10.1080/17442508.2014.895359 | |
dc.identifier.urn | URN:NBN:no-46299 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 1744-2508 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/41887/1/paper1.pdf | |
dc.type.version | AcceptedVersion | |