The system frequency of a power systems is a good indicator of the networks resilience to
major disturbances. In a completely deregulated setting, for example in the Nordic power …

In this paper, we deal with the solutions of systems of PDEs with bilateral interconnected
obstacles of min–max and max–min types. These systems arise naturally in stochastic …

In power systems, the system frequency is a good indicator of the networks resilience to
major disturbances. In many deregulated markets, eg, the Nordic power market, the system …

We consider an optimal switching problem where the terminal reward depends on the entire
control trajectory. We show existence of an optimal control by applying a probabilistic …

We study a zero-sum stochastic differential switching game in infinite horizon. We prove the
existence of the value of the game and characterize it as the unique viscosity solution of the …

We formulate and solve a finite horizon full balance sheet of a two-mode optimal switching
problem related to trade-off strategies between expected profit and cost yields. Given the …

We consider an optimal switching problem with random lag and possibility of component
failure. The random lag is modeled by letting the operation mode follow a regime switching …

This document is a synthesis of the research that I have been conducting, along with my co–
authors, since the defense of my PhD thesis. This includes several topics, which are …

We consider the problem where an operator of n production units acts by turning off and on
the units to track a stochastic demand. We investigate the situation when the running cost …

We formulate and solve a finite horizon full balance sheet two-modes optimal switching
problem related to trade-off strategies between expected profit and cost yields. Given the …