Electricity production is intrinsically linked to economic development. Energy is a necessity
but fossil fuel-based energy sources, which are still globally predominant, are detrimental to …

We study a differential Riccati equation (DRE) with indefinite matrix coefficients, which arises
in a wide class of practical problems. We show that the DRE solves an associated control …

The thesis studies algorithmic trading problems for liquidity takers (LTs) and liquidity
providers (LPs) in traditional electronic markets and in decentralised trading platforms that …

We derive an investor's optimal trading strategy of electricity contracts traded in two locations
joined by an interconnector. The investor employs a price model which includes the impact …

We consider a price-maker company which generates electricity and sells it in the spot
market. The company can increase its level of installed power by irreversible installations of …

Starting from the model in Koch and Vargiolu (SIAM J Control Optim 59 (4): 3068–3095,
2021), we test the real impact of current renewable installed power in the electricity price in …

We develop a cross-border market model between two countries in which the transmission
capacities that enable transactions between market participants of different countries are …

We propose a modified version of the speculative storage model of Deaton and Laroque
(1992) in a continuous-time framework. Unlike most of the literature, where either the …

We study an optimal portfolio problem designed for an agent operating in intraday electricity
markets. The investor is allowed to trade in a single risky asset modelling the continuously …

Questa tesi è concentrata sui problemi di investimento irreversibile con risorse limitate,
motivati​​ dalla loro applicazione nei mercati elettrici. Attraverso la tesi studiamo diversi …