Fakultät für Technische Wissenschaften
We address the valuation of an energy storage facility in the presence of
stochastic energy prices as it arises in the case of a hydro-electric pump
station. The valuation problem is related to the problem of determining the
optimal charging/discharging strategy that maximizes the expected value
of the resulting discounted cash flows over the lifetime of the storage.
We use a regime-switching model for the energy price which allows for a
changing economic environment described by a finite state Markov chain.
For the latter we consider the fully as well as the partially observed case.
The valuation problem is formulated as a stochastic control problem with
regimeswitching in continuous time. For this control problem we derive the
associated Hamilton-Jacobi-Bellman (HJB) equation which is not strictly
elliptic. Therefore we study the HJB equation using regularization arguments. We use numerical methods for computing approximations of the
value function and the optimal strategy. Finally, we present some numerical
results. The talk is based on the paper Shardin, A. A., Wunderlich, R.:
Partially Observable Stochastic Optimal Control Problems for an Energy
Storage. Stochastics, 89(1):280-310, 2017.
Simone Gahleitner (simone [dot] gahleitner [at] aau [dot] at)