A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be considered one of irreversible investment with a cost...

We introduce a novel simulated certainty equivalent approximation (SCEQ) method for solving dynamic stochastic problems. Our examples show that SCEQ can quickly solve high-dimensional finite- or infinite-horizon, stationary or non- stationary dynamic stochastic problems with hundreds of state...

We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...

An intertemporal optimal strategy for accumulation of reversible capital and management of an exhaustible resource is analyzed for a global economy when resource depletion generates discharges that add to a stock pollutant that affects the likelihood for hitting a tipping point or threshold of...

We consider optimal information acquisition for the control of linear discrete-time random systems with noisy observations and apply the findings to the problem of dynamically implementing emissions-reduction targets. The optimal policy, which is provided in closed form, depends on a single...

Regime-switching Levy processes integrate jump-diffusions and Markov regime-switchings. When they are coalesced with nonlinear partial differential equations of second order, the technique of viscosity solutions proves critical in the resolution process. However, applications to carbon policies...

Renewable resources are affected by both environmental variability, which makes the year-to-year stock growth uncertain, and the risk of irreversible events (e.g., a stock collapse). Little is known about how a renewable resource harvester would optimally respond to the combined effects of both...