The present disclosure relates to a method of milling a fuel for an oxy-fuel combustion burner (9), the method comprising: separating air into a hot nitrogen gas stream, having a temperature of at least 150°C and a purity of at least 98 mol-% nitrogen, and an oxygen gas stream; leading at least a part of the nitrogen gas stream to a fuel mill (2); milling the fuel by means of the fuel mill (2) in a nitrogen rich atmosphere formed by means of the nitrogen gas stream; leading the at least a part of the nitrogen gas stream away from the milled fuel; leading the oxygen gas stream to the oxy-fuel combustion burner (9); conveying the milled fuel to the oxy-fuel combustion burner (9); and burning the fuel, by means of the oxy-fuel combustion burner (9), in an oxygen rich atmosphere formed by means of the oxygen gas stream. The present disclosure further relates to a system for milling a fuel for an oxy-fuel combustion burner as well as to a power plant comprising such a system.