Sofie Bjerregaard

Sofie Bjerregaard is Director of the Sustainability and Energy Economics Division at the Institute for Advanced Dynamic Uncertainty, where her research develops rigorous mathematical frameworks for the analysis and design of energy policy under uncertainty. She holds a PhD in Applied Mathematics and Computer Science from the Technical University of Denmark (DTU), where her doctoral work established a stochastic optimal control framework for the management of renewable energy portfolios subject to demand uncertainty, storage constraints, and time-varying carbon pricing. Her thesis deployed viscosity solution theory for Hamilton–Jacobi–Bellman equations in state spaces augmented by storage levels and grid capacity variables, establishing existence and uniqueness results for the value function under a class of degenerate diffusions that arise naturally when battery dynamics are incorporated into the state description. The work resolved, in particular, the question of whether smooth-fit conditions survive at the boundaries of the storage feasibility region — a question with direct implications for the structure of optimal dispatch policies — and produced a provably convergent numerical scheme for the associated free boundary problem that has been applied to real Danish wind-plus-storage portfolios.

Bjerregaard's research spans the mathematical foundations of energy economics: the real options theory of irreversible investment in renewable capacity under policy and technology uncertainty, dynamic optimisation of carbon abatement pathways via continuous-time HJB methods, mean field game models for the equilibrium behaviour of large populations of distributed energy producers and consumers, and the mechanism design of emissions trading schemes under heterogeneous abatement costs. What distinguishes her work is its simultaneous command of the full mathematical apparatus — viscosity solutions, free boundary theory, stochastic control, mechanism design — and its direct engagement with the institutional and regulatory realities that determine whether a theoretical framework can inform actual policy. She does not treat the policy application as decoration: the institutional constraint enters the model as a mathematical object, and the solution must respect it.

At IADU, Bjerregaard directs the Sustainability and Energy Economics Division, overseeing a team whose work spans climate finance, carbon market design, energy investment theory, and the mathematics of environmental regulation. Her division produces research for sovereign wealth funds managing energy transition risk, finance ministries designing carbon pricing instruments, and energy regulators seeking quantitative frameworks for capacity market design. Her own current research focuses on the optimal design of carbon border adjustment mechanisms under strategic behaviour by exporting firms, the mathematical theory of green bond pricing under correlated climate and credit risk, and the construction of mean field equilibrium models for power markets with high penetrations of intermittent renewable generation.