An optimal trading problem in intraday electricity markets, Mathematics and Financial Economics, vol.35, issue.1, pp.49-85, 2016. ,
DOI : 10.1007/s11579-015-0150-8
Optimal execution of portfolio transactions, The Journal of Risk, vol.3, issue.2, pp.5-40, 2001. ,
DOI : 10.21314/JOR.2001.041
A stochastic representation theorem with applications to optimization and obstacle problems, Annals of Probability, pp.1030-1067, 2004. ,
Identifying the Free Boundary of a Stochastic, Irreversible Investment Problem via the Bank--El Karoui Representation Theorem, SIAM Journal on Control and Optimization, vol.52, issue.2, pp.1048-1070, 2014. ,
DOI : 10.1137/11085195X
Fitting wind speed distributions: a case study, Solar Energy, pp.139-144, 1998. ,
Balancing forecast errors in continuous-trade intraday markets, Energy Systems, vol.38, issue.7, pp.361-388, 2015. ,
DOI : 10.1007/s12667-015-0143-y
Market Design with Centralized Wind Power Management: Handling Low-predictability in Intraday Markets, The Energy Journal, vol.35, issue.1, pp.99-117, 2014. ,
DOI : 10.5547/01956574.35.1.6
Short-term trading for a wind power producer, Power Systems, IEEE Transactions, pp.25-554, 2010. ,
Continuous-time stochastic control and optimization with financial applications, 2009. ,
DOI : 10.1007/978-3-540-89500-8
URL : https://hal.archives-ouvertes.fr/hal-00401892