A data-driven stochastic optimal control framework using Jacobi diffusion for production and asymmetric jump-diffusion for prices outperforms the TWAP benchmark and nears perfect-foresight performance on German intraday market data.
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Data-Driven Stochastic Optimal Control for Intraday Electricity Trading by Renewable Producers
A data-driven stochastic optimal control framework using Jacobi diffusion for production and asymmetric jump-diffusion for prices outperforms the TWAP benchmark and nears perfect-foresight performance on German intraday market data.