How to Optimally Charge a Battery: a Non Convex Singular Stochastic Control Problem (joint with Tiziano De Angelis and John Moriarty)

ABSTRACT: The known equivalence between certain problems of singular stochastic control (SSC) and related questions of optimal stopping (see, for example, Karatzas and Shreve (1984)) is not guaranteed if the performance criterion is not convex. The aim of this paper is to investigate how connections of this type generalise to a non convex storage-consumption problem for electricity, an unusual commodity with both positive and negative prices in some markets.

Our setting has similarities to the finite-fuel monotone follower problem. In particular we consider a non convex infinite time horizon SSC problem whose state consists of an uncontrolled diffusion representing a real-valued commodity price, and a controlled increasing bounded process representing an inventory.  We analyse the geometry of the action and inaction regions by characterising their (optimal) boundaries. Unlike the case of convex SSC problems we find that the optimal boundaries may be both reflecting and repelling and it is natural to interpret the problem as one of SSC with discretionary stopping.


BiGSEM Workshop

The 13th BiGSEM Doctoral Workshop on Economic Theory took place at Bielefeld University earlier this week. The annual event is entirely organized by doctoral students for doctoral students. Out of a pool of applications, sixteen speakers where invited to talk about their research in various fields of theoretical economics. All of these talks took place in the plenary hall of the Center for Interdisciplinary Research amidst the green of the Teutoburg Forest. Afterwards, everybody returned home with new ideas and concepts. Pictures

Serhat Gezer

Serhat Gezer successfully defended his thesis on "Dynamic and Strategic Analysis of Innovations"



BiGSEM student Serhat Gezer will defend his doctoral thesis. It will take place in U3-140 at 2 pm on Friday November 23.

New visiting PhD student

Elena Iakimova from University of Calabria (IT) is taking part in BiGSEM as a visiting student in the time from 01/10/2018 to 28/02/2019. Her research interests are mainly focused on energy resources.


BiGSEM happily welcomes ExSIDE students

BiGSEM happily welcomes three second year ExSIDE doctoral students who are now doing their research in BiGSEM during the academic year 2018/19:

Ms. Fen Li
Mr. Thanh Son Pham
Mr. Severin Reissl

We wish our new students a good start and much success with their academic program!