Campuses:

Optimal switching problems and applications in energy finance

Wednesday, June 16, 2010 - 3:30pm - 5:00pm
Lind 305
Michael Ludkovski (University of California)
Optimal Switching models are concerned with sequential
decision making where the controller has a finite number of policy
regimes. Such models arise naturally in pricing of energy assets,
including tolling agreements for electricity production, natural gas
storage facilities, carbon emission permits, etc. I will discuss the
general mathematical structure of optimal switching models, including
their relation to multiple stopping problems. I will then describe some
work in progress with R. Sircar on exploration control in exhaustible
resource management.

In the second part of the talk, I will focus on numerical methods and
implementation issues for optimal switching, especially simulation tools
that extend Monte Carlo methods for American options.
MSC Code: 
94C10
Keywords: