Appears in collection : Probabilities days / Journées de probabilités

Electricity producers have to plan their delivery. If their effective delivery does not match the planed one, they have to pay financial penalties. Due to the stochastic nature of their production, renewable energy producers are more exposed to those penalties. We study here the use of a storage device. This device allows to store and release energy. We begin by introducing our production and storage model in continuous time. With this modelization, we obtain an optimal stochastic control problem. Then we describe a numerical method to approximate the maximal expected gain of the producer and the corresponding storage/release strategy.