VALUING ELECTRICITY ASSETS IN DEREGULATED MARKETS: A REAL OPTIONS MODEL WITH MEAN REVERSION AND JUMPS

Valuation of electricity generating assets is of central importance as utilities are forced to spin-off generators with the introduction of competitive markets. A continuous-time mean reverting price path with stochastic upward jumps is proposed as an appropriate model for long-run competitive electricity prices faced by a generator. A real options model is derived via dynamic programming using infinite series solutions. The derived model produces asset values which are uniformly higher than those produced by existing models, and which accurately predict observed generator sale prices. The model has favorable implications for stranded cost recovery and generator entry in competitive markets.real options, electricity deregulation, mean reversion, jump processes, asset valuation, Marketing,

Convergence to Fleming-Viot processes in the weak atomic topology

AbstractStochastic models for gene frequencies can be viewed as probability-measure-valued processes. Fleming and Viot introduced a class of processes that arise as limits of genetic models as the population size and the number of possible genetic types tend to infinity. In general, the topology on the process values in which these limits exist is the topology of weak convergence; however, convergence in the weak topology is not strong enough for many genetic applications. A new topology on the space of finite measures is introduced in which convergence implies convergence of the sizes and locations of atoms, and conditions are given under which genetic models converge in this topology. As an application, Kingman's Poisson-Dirichlet limit is extended to models with selection

A COMPARISON OF HYPOTHETICAL PHONE AND MAIL CONTINGENT VALUATION RESPONSES FOR GREEN PRICING ELECTRICITY PROGRAMS

To date, much of the policy and research debate on contingent valuation mode effects has relied on experiences drawn from other research disciplines. This study provides the first contingent valuation phone-mail comparison that meets current standards for response rates, draws from a general population, is relevant to the valuation of general environmental goods, and allows comparisons with actual sign-ups. Consistent with previous research in other disciplines, social desirability bias is found in responses to subjective questions --thus leading to more environmentally favorable responses on the phone. However, this effect does not carry over to hypothetical participation decisions. Hypothetical bias is found in both modes. Yet, application of calibration methods using debriefing questions provided nearly identical values across modes. As such, neither mode appears to dominate from the perspective of providing more valid estimates of actual participation decisions. The selection of survey mode must be based on other criteria.Environmental Economics and Policy,

Comparing Offline Decoding Performance in Physiologically Defined Neuronal Classes

Objective: Recently, several studies have documented the presence of a bimodal distribution of spike waveform widths in primary motor cortex. Although narrow and wide spiking neurons, corresponding to the two modes of the distribution, exhibit different response properties, it remains unknown if these differences give rise to differential decoding performance between these two classes of cells. Approach: We used a Gaussian mixture model to classify neurons into narrow and wide physiological classes. Using similar-size, random samples of neurons from these two physiological classes, we trained offline decoding models to predict a variety of movement features. We compared offline decoding performance between these two physiologically defined populations of cells. Main results: We found that narrow spiking neural ensembles decode motor parameters better than wide spiking neural ensembles including kinematics, kinetics, and muscle activity. Significance: These findings suggest that the utility of neural ensembles in brain machine interfaces may be predicted from their spike waveform widths

The Euler-Maruyama approximation for the absorption time of the CEV diffusion

A standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coefficients on the boundary, which excludes the possibility of absorption. In this paper we consider the CEV diffusion from the mathematical finance and show how a weakly consistent approximation for the absorption time can be constructed, using the Euler-Maruyama scheme

Thermoelectric phenomena via an interacting particle system

We present a mesoscopic model for thermoelectric phenomena in terms of an interacting particle system, a lattice electron gas dynamics that is a suitable extension of the standard simple exclusion process. We concentrate on electronic heat and charge transport in different but connected metallic substances. The electrons hop between energy-cells located alongside the spatial extension of the metal wire. When changing energy level, the system exchanges energy with the environment. At equilibrium the distribution satisfies the Fermi-Dirac occupation-law. Installing different temperatures at two connections induces an electromotive force (Seebeck effect) and upon forcing an electric current, an additional heat flow is produced at the junctions (Peltier heat). We derive the linear response behavior relating the Seebeck and Peltier coefficients as an application of Onsager reciprocity. We also indicate the higher order corrections. The entropy production is characterized as the anti-symmetric part under time-reversal of the space-time Lagrangian.Comment: 19 pages, 2 figures, submitted to Journal of Physics

The Mean Drift: Tailoring the Mean Field Theory of Markov Processes for Real-World Applications

The statement of the mean field approximation theorem in the mean field theory of Markov processes particularly targets the behaviour of population processes with an unbounded number of agents. However, in most real-world engineering applications one faces the problem of analysing middle-sized systems in which the number of agents is bounded. In this paper we build on previous work in this area and introduce the mean drift. We present the concept of population processes and the conditions under which the approximation theorems apply, and then show how the mean drift is derived through a systematic application of the propagation of chaos. We then use the mean drift to construct a new set of ordinary differential equations which address the analysis of population processes with an arbitrary size

Self-Averaging Scaling Limits of Two-Frequency Wigner Distribution for Random Paraxial Waves

Two-frequency Wigner distribution is introduced to capture the asymptotic behavior of the space-frequency correlation of paraxial waves in the radiative transfer limits. The scaling limits give rises to deterministic transport-like equations. Depending on the ratio of the wavelength to the correlation length the limiting equation is either a Boltzmann-like integral equation or a Fokker-Planck-like differential equation in the phase space. The solutions to these equations have a probabilistic representation which can be simulated by Monte Carlo method. When the medium fluctuates more rapidly in the longitudinal direction, the corresponding Fokker-Planck-like equation can be solved exactly.Comment: typos correcte

Rectification of thermal fluctuations in ideal gases

We calculate the systematic average speed of the adiabatic piston and a thermal Brownian motor, introduced in [Van den Broeck, Kawai and Meurs, \emph{Microscopic analysis of a thermal Brownian motor}, to appear in Phys. Rev. Lett.], by an expansion of the Boltzmann equation and compare with the exact numerical solution.Comment: 18 page