Approximating a continuous price model with a discrete price Markov chain

Kåresen, Kjetil F.; Dimakos, Xeni Kristine

October 01, 2000

SAMBA

• Areas: Electricity markets
• Keywords: Electricity price, Discretization, Kalman filter, Markov model, SMART model
• Page(s): 32
• Name and number of project: 220030, ElMarkov
• Title: Approximating a continuous price model with a discrete price Markov chain
• Author(s): Kåresen, Kjetil F.; Dimakos, Xeni Kristine
• Report number: SAMBA/18/00
• Published date: October 01, 2000