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A Stochastic Control Model For Electricity Producers, Charles William Beer

Theses and Dissertations

Modern electricity pricing models include a strong reversion to a long run mean and a

number of non-local operators to encapsulate the discontinuous price behavior observed in

such markets. However, incorporating non-local processes into a stochastic control problem

presents significant analytical challenges. The motivation for this work is to solve the problem

of optimal control of the burn rate for a coal-powered electricity plant. We first construct a

pricing model that is a good general representative of the class of models currently used for

electricity pricing as well as a model for the supply of fuel to the plant. Under …