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 student, Ghislain-Herman Demeze-Jouatsa, will defend his doctoral  thesis. It will take place on Friday September 21 at 2 pm in V10-122.

ExSIDE Research Training School

The ExSIDE Research Training School will take place from the 12th of September until the 14th of September 2018 at the Bielefeld University

BGTS mobility grants

Congratulations! Ghislain Herman Demeze successfully applied for the BGTS mobility grants.

Successful ExSIDE Second Network-Wide Training Event

in March at the Université Paris 1 Panthéon-Sorbonne, Paris. Our doctoral studens participate at these training event R. Terranova, M. Nanumyan, E. Damdinsuren, S. Reissl, F. Li, T.S. Pham ...

CEF 2018

Nine BiGSEM members actively participated and presented papers at  the 24th International Conference on Computing in Economics and Finance (CEF 2018) in Milano http://comp-econ.org/CEF_2018/.

Call for Papers

13th BiGSEM Doctoral Workshop on Economic Theory

Bielefeld University, Center for Interdisciplinary Research (ZiF)

December 10-11, 2018

SUBMISSION DEADLINE: September 15, 2018