Publications

Current list of publications supported by grants held in my group, together with links to open-access versions:

Published papers

1. KOSMALA, T., MARTYR, R. AND MORIARTY, J. (2023). Markov risk mappings and risk-sensitive optimal prediction. Mathematical Methods of Operations Research 97, pp. 91–116. preprint, journal

2. MARTYR, R., MORIARTY, J., AND PERNINGE, M. (2022). Discrete-time risk-aware optimal switching with non-adapted costs. Advances in Applied Probability 54:2. preprint, journal 

3. GOODRIDGE, M., MORIARTY, J., VOGRINC, J., AND ZOCCA, A. (2022) Hopping between distant basins. Journal of Global Optimization 84, pp. 465-489. preprint, journal

4. MORIARTY, J., VOGRINC, J., AND ZOCCA, A. (2021). A Metropolis-class sampler for targets with non-convex support. Statistics and Computing 31:72. preprint, journal

5. ARVIZU, J. M., MASON, L. R. AND MORIARTY, J. (2021). Reinforcing the role of competition platforms. Opinion piece, Patterns 2:8. journal 

6. GONZALEZ, J., PAPADOPOULOS, P. N., MILANOVIĆ, J. V., PESKIR, G. AND MORIARTY, J. (2021). Risk-constrained minimisation of combined event detection and decision time for online transient stability assessment. IEEE Transactions on Smart Grid 12:5. journal

7. GOODRIDGE, M., MORIARTY, J., AND PIZZOFERRATO, A. (2021). A rare-event study of frequency regulation and contingency services from grid-scale batteries. Philosophical Transactions of the Royal Society A 379:20190433. journal

8. MARTYR, R. AND MORIARTY, J. (2021). Nonzero-sum games of optimal stopping and generalised Nash equilibrium. SIAM Journal on Control and Optimization 59:2. preprint, journal

9. CUCURINGU, M., PIZZOFERRATO, A., AND VAN GENNIP, Y. (2021). An MBO scheme for clustering and semi-supervised clustering of signed networks. Communications in Mathematical Sciences 19:1, pp. 73-109. preprint, journal

10. NESTI, T., MORIARTY, J., ZOCCA, A., AND ZWART, B. (2020). Large fluctuations in locational marginal prices. Philosophical Transactions of the Royal Society A 379:20190438. preprint, journal

11. GOODRIDGE, M., MORIARTY, J., AND PIZZOFERRATO, A. (2020). Distributions of cascade sizes in power system emergency response. Probabilistic Methods Applied to Power Systems (PMAPS), 2020 International Conference on. preprint, journal

12. MORIARTY, J. AND PALCZEWSKI, J. (2019). Imbalance market real options and the valuation of storage in future energy systems. Risks 7:2. journal, preprint

13. MIJATOVIĆ, A. and VOGRINC, J. (2019). Asymptotic variance for random walk Metropolis chains in high dimensions: Logarithmic growth via the Poisson equation. Advances in Applied Probability 51:4, pp.994-1026. journal, preprint

14. HAMADENE, S., MARTYR, R. AND MORIARTY, J. (2019). A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time. Advances in Applied Probability 51:2 journal, preprint

15. MARTYR, R., MORIARTY, J. AND BECK, C. (2018). Optimal control of a commercial building's thermostatic load for off-peak demand response. Journal of Building Performance Simulation 12:5, pp. 580-594. journal, preprint

16. DE ANGELIS, T., FERRARI, G. AND MORIARTY, J. (2018). Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Annals of Applied Probability 28:1, pp. 112–147. journal, preprint

17. MORIARTY, J., VOGRINC, J. AND ZOCCA, A. (2018). Frequency violations from random disturbances: an MCMC approach. 57th IEEE Conference on Decision and Control. conference paper, preprint

18. DE ANGELIS, T. AND FERRARI, G. (2018). Stochastic nonzero-sum games: a new connection between singular control and optimal stopping. Advances in Applied Probability 50:2, pp. 347-372. journal, preprint

19. DE ANGELIS, T., FERRARI G. AND MORIARTY J. (2018). A solvable two-dimensional degenerate singular stochastic control problem with non convex costs. Mathematics of Operations Research 44:2, pp.512-531. journal, preprint

20. DE ANGELIS, T. AND KITAPBAYEV, Y. (2018). On the optimal exercise boundaries of swing put options. Mathematics of Operations Research 43:1, pp. 252-274. journal, preprint

21. DE ANGELIS, T. (2018). From optimal stopping boundaries to Rost's reversed barriers and the Skorokhod embedding. Annales de l'Institut Henri Poincare (B) Probability and Statistics 54:2, 1098-1133. journal, preprint

22. GONZALEZ, J., MORIARTY, J. AND PALCZEWSKI, J. (2017). Bayesian calibration and number of jump components in electricity spot price models. Energy Economics 65, pp. 375-388. journal, preprint

23. JOHNSON, P., MORIARTY, J. AND PESKIR, G. (2017). Detecting changes in real-time data: a user’s guide to optimal detection. Philosophical Transactions of the Royal Society A 375:20160298. journal, preprint

24. MARTYR, R. AND SZABO, D. (2017). Real option valuation of a decremental regulation service provided by electricity storage. Philosophical Transactions of the Royal Society A 375: 20160300. journal, preprint

25. DE ANGELIS, T. AND KITAPBAYEV, Y. (2017). Integral equations for Rost's reversed barriers: existence and uniqueness results. Stochastic Processes and their Applications 127:10, pp. 3447-3464. journal, preprint

26. MIJATOVIC, A., MORIARTY, J. AND VOGRINC, J. (2017). Procuring load curtailment from local customers under uncertainty. Philosophical Transactions of the Royal Society A 375:20160311. journal, preprint  

27. DE ANGELIS, T., FERRARI, G., MARTYR, R. AND MORIARTY, J. (2017). Optimal entry to an irreversible investment plan with non convex costs. Mathematics and Financial Economics 11:4, pp 423–454. journal, preprint

28. MORIARTY, J. AND PALCZEWSKI, J. (2017). Real option valuation for reserve capacity. European Journal of Operational Research 257, pp. 251–260. journal, preprint

29. DE ANGELIS, T. AND PESKIR, G. (2017). Optimal prediction of resistance and support levels. Applied Mathematical Finance 23:6, pp.465-483. journal, preprint

30. DE ANGELIS, T., FEDERICO, S. AND FERRARI, G. (2017). Optimal Boundary Surface for Irreversible Investment with Stochastic Costs. Mathematics of Operations Research 42:4, pp. 1135-1161. journal, preprint

31. GONZALEZ, J., KITAPBAYEV, Y., GUO, T., MILANOVIC, J.V., PESKIR, G. AND MORIARTY, J. (2016). Application of sequential testing problem to online detection of transient stability status for power systems. 55th IEEE Conference on Decision and Control, pp. 1536-1541. preprint, journal

32. SCHACHTER, J., MANCARELLA, P., MORIARTY, J. AND SHAW, R. (2016). Flexible investment under uncertainty in smart distribution networks with demand side response: Assessment framework and practical implementation. Energy Policy 97, pp. 439-449. open access

33. MARTYR, R. (2016). Solving finite time horizon Dynkin games by optimal switching. Journal of Applied Probability 53:4, pp. 957-973. preprint, journal

34. MARTYR, R. (2016). Finite-horizon optimal multiple switching with signed switching costs. Mathematics of Operations Research 41:4, pp. 1432-1447. preprint, journal

35. MARTYR, R. (2016). Dynamic programming for discrete-time finite horizon optimal switching problems with negative switching costs. Advances in Applied Probability 48:3, pp. 832-847. preprint, journal

36. CHIAROLLA, M.B. AND DE ANGELIS, T. (2015). Optimal stopping of a Hilbert space valued diffusion: an infinite dimensional variational inequality. Applied Mathematics and Optimization journal, preprint 

37. DE ANGELIS, T., FERRARI, G. AND MORIARTY, J. (2015). A non convex singular stochastic control problem and its related optimal stopping boundaries. SIAM Journal on Control and Optimization 53:3, pp. 1199-1223 journal, preprint

38. KITAPBAYEV, Y., MORIARTY, J. AND MANCARELLA, P. (2015). Stochastic control and real options valuation of thermal storage-enabled demand response from flexible district energy systems. Applied Energy 137, pp. 823-831 journal, preprint

39. GONZALEZ, J. AND MORIARTY, J. (2014). Risk-sensitive optimal switching and applications to district energy systems. Probabilistic Methods Applied to Power Systems (PMAPS), 2014 International Conference on journal, preprint

40. DE ANGELIS, T. AND FERRARI, G. (2014). A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis. Stochastic Processes and their Applications 124, pp. 4080-4119 journal, preprint

41. CHIAROLLA, M.B. AND DE ANGELIS, T. (2014). Analytical pricing of American Put options on a Zero Coupon Bond in the Heath-Jarrow-Morton model. Stochastic Processes and their Applications 125, pp. 678-707 journal, preprint

42. DE ANGELIS, T. (2014). A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one dimensional diffusions. SIAM Journal on Control and Optimization 53:1, pp. 167-184 journal, preprint