Trond Brekke

Trond Brekke is a Research Associate at the Institute for Advanced Dynamic Uncertainty, where his work applies stochastic control theory to investment problems in the energy sector. He holds a PhD in Mathematics from the Norwegian University of Science and Technology (Department of Mathematical Sciences), where his doctoral research formulated irreversible energy investment decisions as optimal stopping problems — deriving the free boundary that separates the wait and invest regions, establishing regularity of the value function, and characterising the optimal investment threshold as a function of commodity price volatility and the cost of capital.

Following his doctorate, Brekke extended his work to more complex energy investment structures in which the decision-maker retains operational flexibility after the initial investment. His research examined natural gas storage as a continuous-time stochastic control problem with daily injection and withdrawal decisions subject to capacity constraints, and developed dynamic programming methods for hydropower dispatch optimisation in which water reservoir levels and spot electricity prices evolve as coupled stochastic state variables. This work produced practical algorithms applicable to the operational planning problems faced by state-owned energy companies.

At IADU, he applies these frameworks to sovereign energy sector decisions: the optimal timing and scale of state infrastructure investments under long-run price uncertainty, the design of revenue extraction rules for sovereign energy resources that balance current income against option value, and the mathematics of energy transition pathways in which a government must retire existing fossil fuel capacity while committing to uncertain renewable alternatives. His work supports the Institute's capacity to provide rigorous quantitative analysis to ministries of energy and sovereign resource management bodies.