Mathematics of Emissions Markets: Design, Models, Analysis and Simulations

排放市场数学：设计、模型、分析和模拟

• 批准号: 0806591
• 负责人: Rene Carmona
• 金额: $ 23.4万
• 依托单位: Princeton University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2008
• 资助国家: 美国
• 起止时间: 2008-07-01 至 2012-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0806591&HistoricalAwards=false
• 关键词: Mathematics; Emissions; Markets; Design; Models

The research project is motivated by problems in environmental economics concerning the use of market mechanisms to control green-house gas emissions. It concentrates on the design and the analysis of cap and trade schemes, and uses as starting point, the failure of the first phases of the California RECLAIM program and the European Union ETS to reduce emissions. Some of the technical issues raised by this research involve new mathematical models in environmental economics, very general competitive equilibrium problems, large scale stochastic control problems, and ill-posed inverse problems. They all lead to new mathematical challenges in optimization, especially in infinite dimensional spaces, parameter sensitivity analysis and robustness, and stochastic numerics, including multi-scale asymptotic approximations and Monte Carlo simulations. The work will contribute to the important role that mathematics has to play in major policy making decisions.The research that will be carried out with this award is designed to empower policy makers in designing emissions markets capable to meet emissions target while at the same time, reducing the overall social costs as well as the obscene windfall profits energy producers can make when markets are poorly designed. In the area of economics of global warming, where most of the models and large scale simulation programs are deterministic, there is still a strong resistance to the introduction of probabilistic thinking. Poor regulation and a lack of understanding of the stochasticity of the risks involved, have contributed to embarrassing public policy faux pas in previous emissions market designs. By developing new tools and strategies within the realm of stochastic analysis, and by showing how they can be brought to bear on the regulation of emissions markets, the results of this research will help educate the future scientists about what financial markets can and cannot do, and policy makers and regulators about what equilibrium models can explain and justify. By focusing on stochastic models which have traditionally remained off the radar screen of practitioners and policy makers, it will raise the level of awareness for the power of probabilistic modeling in a wide range of domains.

该研究项目的动机是环境经济学中有关利用市场机制控制温室气体排放的问题。它集中于限额与交易计划的设计和分析，并以加州回收计划第一阶段和欧盟碳排放交易体系的失败为起点。这项研究提出的一些技术问题涉及环境经济学中的新数学模型、非常普遍的竞争均衡问题、大规模随机控制问题和不适定逆问题。它们都给优化带来了新的数学挑战，特别是在无限维空间、参数敏感性分析和鲁棒性以及随机数值方面，包括多尺度渐近逼近和蒙特卡罗模拟。这项工作将有助于数学在重大决策中发挥重要作用。该奖项将开展的研究旨在帮助政策制定者设计能够满足排放目标的排放市场，同时，降低总体社会成本以及能源生产商在市场设计不当时可以获得的暴利。在全球变暖经济学领域，大多数模型和大规模模拟程序都是确定性的，因此引入概率思维仍然存在强大的阻力。监管不力和对所涉及风险的随机性缺乏了解，导致了先前排放市场设计中令人尴尬的公共政策失礼。通过在随机分析领域开发新的工具和策略，并展示它们如何对排放市场的监管产生影响，这项研究的结果将有助于教育未来的科学家了解金融市场可以做什么和不能做什么，以及政策制定者和监管者关于均衡模型可以解释和证明什么的问题。通过关注传统上不被从业者和政策制定者关注的随机模型，它将提高人们对概率建模在广泛领域的力量的认识水平。