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Numerical Solution of a Nonlinear PDE Model for Pricing Renewable Energy Certificates (RECs)
dc.contributor.author | Baamonde-Seoane, María A. | |
dc.contributor.author | Calvo-Garrido, María-del-Carmen | |
dc.contributor.author | Coulon, Michael | |
dc.contributor.author | Vázquez, Carlos | |
dc.date.accessioned | 2022-03-17T20:10:36Z | |
dc.date.available | 2022-03-17T20:10:36Z | |
dc.date.issued | 2021 | |
dc.identifier.citation | BAAMONDE-SEOANE, María A., et al. Numerical solution of a nonlinear PDE model for pricing Renewable Energy Certificates (RECs). Applied Mathematics and Computation, 2021, vol. 404, p. 126199. https://doi.org/10.1016/j.amc.2021.126199 | es_ES |
dc.identifier.uri | http://hdl.handle.net/2183/30053 | |
dc.description | Financiado para publicación en acceso aberto: Universidade da Coruña/CISUG | es_ES |
dc.description.abstract | [Abstract] In this article we present a valuation method for Renewable Energy Certificates (RECs) or green certificates. For this purpose, we propose a non-linear PDE model with two stochastic factors: the accumulated green certificates sold by an authorized generator and the natural logarithm of the renewable electricity generation rate. One novelty of the work comes from the numerical treatment of the non-linear convective term in the PDE. Thus, we use the Bermdez-Moreno algorithm to deal with this non-linear term. This duality algorithm is based on the Yosida regularization of non-linear maximal monotone operators. In order to solve the obtained linearized problem, we use numerical methods based on semi-Lagrangian schemes in the direction without diffusion while we consider an implicit second order finite differences scheme in the direction with diffusion term. Finally, we show illustrative results of the performance of the proposed model and numerical methods that have been implemented. | es_ES |
dc.description.sponsorship | MB, MCG and CV acknowledge the funding by Spanish MINECO with the grants MTM2016-76497-R and PID2019-10858RB-I00, and by Galician Government with the grant ED431C2018/033, both including FEDER financial support. As members of CITIC, they also acknowledge the grant ED431G 2019/01, funded by Consellería de Educación, Universidade e Formación Profesional of Xunta de Galicia through FEDER funds with 80%, from FEDER Galicia 2014–2020 Program and 20% from Secretaría Xeral de Universidades | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431C2018/033 | es_ES |
dc.description.sponsorship | Xunta de Galicia; ED431G 2019/01 | es_ES |
dc.language.iso | eng | es_ES |
dc.publisher | Elsevier | es_ES |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/MTM2016-76497-R/ES/METODOS MATEMATICOS Y SIMULACION NUMERICA PARA RETOS EN FINANZAS CUANTITATIVAS, MEDIOAMBIENTE, BIOTECNOLOGIA Y EFICIENCIA INDUSTRIAL/ | |
dc.relation | info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2017-2020/PID2019-108584RB-I00/ES/METODOS MATEMATICOS Y COMPUTACIONALES PARA NUEVOS RETOS EN FINANZAS CUANTITATIVAS, MEDIAMBIENTE, BIOTECNOLOGIA E INGENIERIA/ | |
dc.relation.uri | https://doi.org/10.1016/j.amc.2021.126199 | es_ES |
dc.rights | Atribución 4.0 Internacional | es_ES |
dc.rights.uri | http://creativecommons.org/licenses/by/4.0/ | * |
dc.subject | Renewable energy certificates | es_ES |
dc.subject | Non-linear PDE | es_ES |
dc.subject | Semi-Lagrangian method | es_ES |
dc.subject | Finite differences | es_ES |
dc.subject | Maximal monotone operator | es_ES |
dc.subject | Duality method | es_ES |
dc.title | Numerical Solution of a Nonlinear PDE Model for Pricing Renewable Energy Certificates (RECs) | es_ES |
dc.type | info:eu-repo/semantics/article | es_ES |
dc.rights.access | info:eu-repo/semantics/openAccess | es_ES |
UDC.journalTitle | Applied Mathematics and Computation | es_ES |
UDC.volume | 404 | es_ES |
UDC.startPage | 126199 | es_ES |
dc.identifier.doi | 10.1016/j.amc.2021.126199 |
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