John Moriarty

Queen Mary University of London

SCHOLARLY PAPERS

5

DOWNLOADS

523

TOTAL CITATIONS

5

Scholarly Papers (5)

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1.

Real Option Valuation for Reserve Capacity

Number of pages: 32 Posted: 12 Oct 2014 Last Revised: 03 Jul 2016
John Moriarty and Jan Palczewski
Queen Mary University of London and University of Leeds
Downloads 275 (236,772)
Citation 3

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American option, real option, energy balancing, capacity market

2.

Bayesian Calibration and Number of Jump Components in Electricity Spot Price Models

Number of pages: 43 Posted: 13 Jan 2016 Last Revised: 06 May 2017
Jhonny Gonzalez, John Moriarty and Jan Palczewski
The University of Manchester - School of Mathematics, Queen Mary University of London and University of Leeds
Downloads 114 (516,816)

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Multifactor models, Bayesian calibration, Markov Chain Monte Carlo, Ornstein-Uhlenbeck process, Electricity spot price, Negative jumps

3.

A Non Convex Singular Stochastic Control Problem and Its Related Optimal Stopping Boundaries

Institute of Mathematical Economics Working Paper No. 508
Number of pages: 25 Posted: 11 May 2014 Last Revised: 05 Dec 2014
Tiziano De Angelis, Giorgio Ferrari and John Moriarty
University of Manchester, Bielefeld University - Center for Mathematical Economics and Queen Mary University of London
Downloads 58 (775,655)
Citation 1

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fi nite-fuel singular stochastic control, optimal stopping, free-boundary, smooth-fit, Hamilton-Jacobi-Bellman equation, irreversible investment

4.

A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs

Center for Mathematical Economics Working Paper No. 531
Number of pages: 28 Posted: 05 Dec 2014
Tiziano De Angelis, Giorgio Ferrari and John Moriarty
University of Manchester, Bielefeld University - Center for Mathematical Economics and Queen Mary University of London
Downloads 55 (796,213)

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finite-fuel singular stochastic control, optimal stopping, free boundary, Hamilton-Jacobi-Bellmann equation, irreversible investment, electricity market

5.

RangL: A Reinforcement Learning Competition Platform

Number of pages: 10 Posted: 20 Jul 2022
Viktor Zobernig, Richard A. Saldanha, Jinke He, Erica van der Sar, Jasper van Doorn, Jia-Chen Hua, Lachlan R. Mason, Aleksander Czechowski, Drago Indjic, Tomasz Kosmala, Alessandro Zocca, Sandjai Bhulai, Jorge Montalvo Arvizu, Claude Kloeckl and John Moriarty
Austrian Institute of Technology, Queen Mary University of London, Delft University of Technology, Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam, Queen Mary University of London, Delft University of Technology, Delft University of Technology, Queen Mary University of London, Queen Mary University of London, Vrije Universiteit Amsterdam, Vrije Universiteit Amsterdam, Queen Mary University of London, Universität für Bodenkultur Wien (BOKU) and Queen Mary University of London
Downloads 21 (1,128,248)
Citation 1

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Reinforcement Learning, Artificial Intelligence, Competition, Optimization, Energy, Energy Systems, Energy Transition, RangL, NZTC, Pathways to Net-Zero, Control