{"id":"https://openalex.org/W1964620550","doi":"https://doi.org/10.1137/130928893","title":"Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem","display_name":"Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem","publication_year":2014,"publication_date":"2014-01-01","ids":{"openalex":"https://openalex.org/W1964620550","doi":"https://doi.org/10.1137/130928893","mag":"1964620550"},"language":"en","primary_location":{"id":"doi:10.1137/130928893","is_oa":false,"landing_page_url":"https://doi.org/10.1137/130928893","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://hdl.handle.net/11577/3003902","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5056967937","display_name":"Matteo Basei","orcid":"https://orcid.org/0000-0001-6252-1803"},"institutions":[{"id":"https://openalex.org/I138689650","display_name":"University of Padua","ror":"https://ror.org/00240q980","country_code":"IT","type":"education","lineage":["https://openalex.org/I138689650"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Matteo Basei","raw_affiliation_strings":["University of Padua ,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Padua ,","institution_ids":["https://openalex.org/I138689650"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5069151750","display_name":"Annalisa Cesaroni","orcid":"https://orcid.org/0000-0001-7159-8263"},"institutions":[{"id":"https://openalex.org/I138689650","display_name":"University of Padua","ror":"https://ror.org/00240q980","country_code":"IT","type":"education","lineage":["https://openalex.org/I138689650"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Annalisa Cesaroni","raw_affiliation_strings":["University of Padua ,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Padua ,","institution_ids":["https://openalex.org/I138689650"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5031776494","display_name":"Tiziano Vargiolu","orcid":"https://orcid.org/0000-0002-3210-8062"},"institutions":[{"id":"https://openalex.org/I138689650","display_name":"University of Padua","ror":"https://ror.org/00240q980","country_code":"IT","type":"education","lineage":["https://openalex.org/I138689650"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Tiziano Vargiolu","raw_affiliation_strings":["University of Padua ,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of Padua ,","institution_ids":["https://openalex.org/I138689650"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I138689650"],"apc_list":null,"apc_paid":null,"fwci":2.3018,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":{"value":0.88987421,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":97},"biblio":{"volume":"5","issue":"1","first_page":"581","last_page":"608"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9941999912261963,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9941999912261963,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9890999794006348,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10471","display_name":"Climate Change Policy and Economics","score":0.9603000283241272,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/hamilton\u2013jacobi\u2013bellman-equation","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","score":0.949821949005127},{"id":"https://openalex.org/keywords/viscosity-solution","display_name":"Viscosity solution","score":0.828994870185852},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.7754225134849548},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.663080096244812},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.629920482635498},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.5930319428443909},{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.5690973997116089},{"id":"https://openalex.org/keywords/constraint","display_name":"Constraint (computer-aided design)","score":0.5644898414611816},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5373050570487976},{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.43368327617645264},{"id":"https://openalex.org/keywords/boundary-value-problem","display_name":"Boundary value problem","score":0.4318930506706238},{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.4311532974243164},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3302651047706604},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.1284351944923401}],"concepts":[{"id":"https://openalex.org/C196978813","wikidata":"https://www.wikidata.org/wiki/Q3302775","display_name":"Hamilton\u2013Jacobi\u2013Bellman equation","level":3,"score":0.949821949005127},{"id":"https://openalex.org/C88731125","wikidata":"https://www.wikidata.org/wiki/Q7935676","display_name":"Viscosity solution","level":2,"score":0.828994870185852},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.7754225134849548},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.663080096244812},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.629920482635498},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.5930319428443909},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.5690973997116089},{"id":"https://openalex.org/C2776036281","wikidata":"https://www.wikidata.org/wiki/Q48769818","display_name":"Constraint (computer-aided design)","level":2,"score":0.5644898414611816},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5373050570487976},{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.43368327617645264},{"id":"https://openalex.org/C182310444","wikidata":"https://www.wikidata.org/wiki/Q1332643","display_name":"Boundary value problem","level":2,"score":0.4318930506706238},{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.4311532974243164},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3302651047706604},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.1284351944923401},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/130928893","is_oa":false,"landing_page_url":"https://doi.org/10.1137/130928893","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:www.research.unipd.it:11577/3003902","is_oa":true,"landing_page_url":"http://hdl.handle.net/11577/3003902","pdf_url":null,"source":{"id":"https://openalex.org/S4377196283","display_name":"Research Padua  Archive (University of Padua)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I138689650","host_organization_name":"University of Padua","host_organization_lineage":["https://openalex.org/I138689650"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"}],"best_oa_location":{"id":"pmh:oai:www.research.unipd.it:11577/3003902","is_oa":true,"landing_page_url":"http://hdl.handle.net/11577/3003902","pdf_url":null,"source":{"id":"https://openalex.org/S4377196283","display_name":"Research Padua  Archive (University of Padua)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I138689650","host_organization_name":"University of Padua","host_organization_lineage":["https://openalex.org/I138689650"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"info:eu-repo/semantics/article"},"sustainable_development_goals":[{"score":0.7799999713897705,"id":"https://metadata.un.org/sdg/7","display_name":"Affordable and clean energy"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":21,"referenced_works":["https://openalex.org/W34876712","https://openalex.org/W1513091520","https://openalex.org/W1558902221","https://openalex.org/W1984720079","https://openalex.org/W1985978441","https://openalex.org/W2004578365","https://openalex.org/W2016107460","https://openalex.org/W2032316144","https://openalex.org/W2057764612","https://openalex.org/W2069631603","https://openalex.org/W2082176355","https://openalex.org/W2088906233","https://openalex.org/W2106163103","https://openalex.org/W2111473977","https://openalex.org/W2123922338","https://openalex.org/W2168392234","https://openalex.org/W2209221136","https://openalex.org/W2210643858","https://openalex.org/W2338343974","https://openalex.org/W3099273337","https://openalex.org/W4285719527"],"related_works":["https://openalex.org/W190997146","https://openalex.org/W4306892756","https://openalex.org/W2358967034","https://openalex.org/W3153900688","https://openalex.org/W2962695587","https://openalex.org/W2754120543","https://openalex.org/W4301305831","https://openalex.org/W2963548356","https://openalex.org/W2094032802","https://openalex.org/W575255019"],"abstract_inverted_index":{"We":[0,62],"characterize":[1,112],"the":[2,11,43,78,96,102,113,117,125],"value":[3,79,85,114],"of":[4,15,26,45,84,87,104,124],"swing":[5,105],"contracts":[6,27,46,106],"in":[7,33,95],"continuous":[8],"time":[9],"as":[10,116],"unique":[12,118],"viscosity":[13,119],"solution":[14,120],"a":[16,37,53,58,67,72,82,92],"Hamilton--Jacobi--Bellman":[17],"(HJB)":[18],"equation":[19,127],"with":[20,28,47,57,81,91,107,121],"suitable":[21],"boundary":[22,131],"conditions.":[23,132],"The":[24],"case":[25,35,44,103],"penalties":[29],"is":[30,40],"straightforward,":[31],"and":[32,76],"that":[34],"only":[36],"terminal":[38],"condition":[39],"needed.":[41],"Conversely,":[42],"strict":[48,108],"constraints":[49],"gives":[50],"rise":[51],"to":[52,101,129],"stochastic":[54],"control":[55],"problem":[56,65,75],"nonstandard":[59],"state":[60],"constraint.":[61],"approach":[63],"this":[64],"by":[66],"penalty":[68],"method:":[69],"we":[70,110],"consider":[71],"general":[73],"constrained":[74],"approximate":[77],"function":[80,115],"sequence":[83],"functions":[86],"appropriate":[88,130],"unconstrained":[89],"problems":[90],"penalization":[93],"term":[94],"objective":[97],"functional.":[98],"Coming":[99],"back":[100],"constraints,":[109],"finally":[111],"polynomial":[122],"growth":[123],"HJB":[126],"subject":[128]},"counts_by_year":[{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2012,"cited_by_count":1}],"updated_date":"2026-06-26T08:34:08.712188","created_date":"2025-10-10T00:00:00"}