A PDE system for modeling stochastic storage in physical and nancialsystems

For simple problems (only) in stochastic storage, analytic solutions are available,and although simulation is available for more difficult problems, in many casesthis is impractically slow. A new system of partial dierential equations (PDEs),derived via techniques used to value options in nance, is shown to efficientlyvalue stochastic storage in physical or nancial systems. The PDE system issolved by a non-standard numerical solution method, which is some ve orders ofmagnitude faster than simulation....