Quantifying uncertainty with a derivative tracking SDE model and application to wind power forecast data

This research was partially supported by the KAUST Office of Sponsored Research (OSR) under Award number URF/1/2584-01-01 in the KAUST Competitive Research Grants Program Round 8, the Alexander von Humboldt Foundation, the chair Risques Financiers, Fondation du Risque, and the Laboratory of Excellence MME-DII Grant no. ANR11-LBX-0023-01 (http://labex-mme-dii.u-cergy.fr/). We thank UTE (https://portal.ute.com.uy/) for providing the data used in this research.