Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates
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We consider a retailer who buys energy in the wholesale market and resells it to final consumers. The retailer has to decide when to intervene to change the price he asks to his customers, in order to maximize his income. We model the problem as an infinite-horizon stochastic impulse control problem. We characterize an optimal price strategy and provide analytical existence results for the equations involved. We then investigate the dependence on the intervention cost. In particular, we prove that the measure of the continuation region is asymptotic to the fourth root of the cost. Finally, we provide some numerical results and consider a suitable extension of the model.
KeywordsImpulse controls Quasi-variational inequality Asymptotic estimates Price management Energy markets
Mathematics Subject Classification93E20 91B70 91B24
The author would like to thank René Aïd, Luciano Campi, Giorgia Callegaro, Tiziano Vargiolu and the anonymous referees for their valuable comments and suggestions.
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