{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T14:37:24Z","timestamp":1787323044485,"version":"3.56.0"},"reference-count":15,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"1","funder":[{"DOI":"10.13039\/501100001665","name":"Agence Nationale de la Recherche","doi-asserted-by":"publisher","award":["ANR-14-CE05-0028"],"award-info":[{"award-number":["ANR-14-CE05-0028"]}],"id":[{"id":"10.13039\/501100001665","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2018,1]]},"abstract":"<jats:p>We study the optimal trading policies for a wind energy producer who aims to sell the future production in the open forward, spot, intraday, and adjustment markets, and who has access to imperfect dynamically updated forecasts of the future production. We construct a stochastic model for the forecast evolution and determine the optimal trading policies which are updated dynamically as new forecast information becomes available. Our results allow us to quantify the expected future gain of the wind producer and to determine the economic value of the forecasts.<\/jats:p>","DOI":"10.1137\/16m1093069","type":"journal-article","created":{"date-parts":[[2018,2,15]],"date-time":"2018-02-15T14:04:15Z","timestamp":1518703455000},"page":"315-346","source":"Crossref","is-referenced-by-count":12,"title":["Optimal Trading Policies for Wind Energy Producer"],"prefix":"10.1137","volume":"9","author":[{"given":"Zongjun","family":"Tan","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Peter","family":"Tankov","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2018,2,15]]},"reference":[{"key":"atypb1","doi-asserted-by":"publisher","DOI":"10.1007\/s11579-015-0150-8"},{"key":"atypb2","doi-asserted-by":"publisher","DOI":"10.21314\/JOR.2001.041"},{"key":"atypb3","doi-asserted-by":"crossref","unstructured":"P. Bank and N. El Karoui,\n                      A stochastic representation theorem with applications to optimization and obstacle problems\n                      , Ann. Probab. (2004), pp. 1030-1067.","DOI":"10.1214\/aop\/1079021471"},{"key":"atypb4","doi-asserted-by":"crossref","unstructured":"P. Bank, H. M. Soner, and M. Vo\u00df,\n                      Hedging with temporary price impact\n                      , Math. Financ. Econ. (2016), pp. 1-25.","DOI":"10.2139\/ssrn.2881299"},{"key":"atypb5","doi-asserted-by":"publisher","DOI":"10.1137\/11085195X"},{"key":"atypb6","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.02001"},{"key":"atypb7","doi-asserted-by":"publisher","DOI":"10.1016\/S0038-092X(97)00116-3"},{"key":"atypb8","doi-asserted-by":"publisher","DOI":"10.1007\/s12667-015-0143-y"},{"key":"atypb9","doi-asserted-by":"publisher","DOI":"10.1198\/jasa.2011.r10138"},{"key":"atypb10","doi-asserted-by":"publisher","DOI":"10.5547\/01956574.35.1.6"},{"key":"atypb11","doi-asserted-by":"crossref","first-page":"17","DOI":"10.1524\/stnd.2011.1027","volume":"28","author":"Kallsen J.","year":"2011","journal-title":"Statist. Decis."},{"key":"atypb12","doi-asserted-by":"publisher","DOI":"10.1016\/j.eneco.2017.03.002"},{"key":"atypb13","doi-asserted-by":"publisher","DOI":"10.1109\/TPWRS.2009.2036810"},{"key":"atypb14","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-003-0112-5"},{"key":"atypb15","doi-asserted-by":"crossref","unstructured":"H. Pham,\n                      Continuous-Time Stochastic Control and Optimization with Financial Applications\n                      , Stoch. Model Appl. Probab. 61, Springer, Berlin, 2009.","DOI":"10.1007\/978-3-540-89500-8_4"}],"container-title":["SIAM Journal on Financial Mathematics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/epubs.siam.org\/doi\/pdf\/10.1137\/16M1093069","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T13:38:34Z","timestamp":1787319514000},"score":1,"resource":{"primary":{"URL":"https:\/\/epubs.siam.org\/doi\/10.1137\/16M1093069"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,1]]},"references-count":15,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2018,1]]}},"alternative-id":["10.1137\/16M1093069"],"URL":"https:\/\/doi.org\/10.1137\/16m1093069","relation":{},"ISSN":["1945-497X"],"issn-type":[{"value":"1945-497X","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,1]]}}}