This paper proposes a model to determine the optimal investment time for energy storage systems (ESSs) in a price arbitrage trade application under conditions of uncertainty over future profits. The adoption of ESSs can generate profits from price arbitrage trade, which are uncertain because the future marginal prices of electricity will change depending on supply and demand. In addition, since...

In this paper, a combination of deterministic and stochastic systems with its random parameters in the model was considered. The analytical solution to proposed is presented detail which determined following insurance quantities or variables such as: surplus process company, risky risk-less assets. These results were explicitly verified graphically effects expected rate return discussed.