We derive utility maximizing portfolios and consumption rates in electricity futures markets under anticipative information modeled by enlarged filtrations. The emerging optimization exercises are solved by point-wise maximization and a sufficient stochastic maximum principle. We provide...

We study modification properties of stochastic processes under different probability measures in an initially enlarged filtration setup. For this purpose, we consider several pure-jump Lévy processes under two equivalent probability measures and derive the associated martingale compensators...

In a general jump-diffusion Radon-Nikodym setup with stochastic Girsanov processes, we derive optimal equivalent probability measures. Optimality is measured in terms of minimum relative entropy and also by more general divergence concepts. We further prove an anticipative sufficient stochastic...

In this paper, we introduce a stochastic model for the wind power production index, which is driven by a continuous-state branching process with immigration, a so-called CBI process. We express the wind power production index in terms of Fourier integrals and derive its stochastic time dynamics....

In this paper, we prove a sufficient stochastic maximum principle for continuous-state branching processes with immigration (so-called CBI processes). We apply the result to several stochastic control problems stemming from finance and epidemiology

We extend the arithmetic multi-factor electricity spot price model proposed by Benth, Kallsen & Meyer-Brandis by adding stochastic mean-level processes to their model and by taking additional information on the future behavior of these mean-level processes into account. The available...

We present a new multi-factor short rate model which is bounded from below by a real-valued function of time. The mean-reverting short rate process is modeled by a sum of pure-jump Ornstein-Uhlenbeck processes such that the related bond price possesses an affine representation. We also provide...

We prove an anticipative sufficient stochastic minimum principle in a jump process setup with initially enlarged filtrations. We apply the result to several portfolio selection problems like mean and minimal variance hedging under enlarged filtrations. We also investigate utility maximizing...

We propose an innovative multi-curve model involving interest rates and (ordered) spreads which are modeled by arithmetic martingale processes being larger than some arbitrarily chosen constant. Under our mean-reverting pure-jump approach, we derive tractable martingale representations for the...

Many electricity markets exhibit an oligopolistic structure with market participants whose individual trading activities may shift prices essentially. In this context, the question of how to optimally liquidate an existing electricity futures portfolio over a fixed time horizon under the...