Zobrazeno 1 - 10
of 94
pro vyhledávání: '"Dumitrescu, Roxana"'
We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating strategy f
Externí odkaz:
http://arxiv.org/abs/2410.12495
In this paper, we introduce various machine learning solvers for (coupled) forward-backward systems of stochastic differential equations (FBSDEs) driven by a Brownian motion and a Poisson random measure. We provide a rigorous comparison of the differ
Externí odkaz:
http://arxiv.org/abs/2401.03245
We develop a model for the long-term dynamics of electricity market, based on mean-field games of optimal stopping. Our paper extends the recent contribution [A\"id, Ren\'e, Roxana Dumitrescu, and Peter Tankov, ``The entry and exit game in the electr
Externí odkaz:
http://arxiv.org/abs/2312.17691
We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To this end, we develop a theory of optimal stopping mean-field games with
Externí odkaz:
http://arxiv.org/abs/2210.03554
In this paper, we consider the problem of a Principal aiming at designing a reward function for a population of heterogeneous agents. We construct an incentive based on the ranking of the agents, so that a competition among the latter is initiated. W
Externí odkaz:
http://arxiv.org/abs/2209.03588
We develop the fictitious play algorithm in the context of the linear programming approach for mean field games of optimal stopping and mean field games with regular control and absorption. This algorithm allows to approximate the mean field game pop
Externí odkaz:
http://arxiv.org/abs/2202.11428
Autor:
Djehiche, Boualem, Dumitrescu, Roxana
We introduce a zero-sum game problem of mean-field type as an extension of the classical zero-sum Dynkin game problem to the case where the payoff processes might depend on the value of the game and its probability law. We establish sufficient condit
Externí odkaz:
http://arxiv.org/abs/2202.02126
In this article, we establish a propagation of chaos result for weakly interacting nonlinear Snell envelopes which converge to a class of mean-field reflected backward stochastic differential equations (BSDEs) with jumps and right-continuous and left
Externí odkaz:
http://arxiv.org/abs/2111.14315
We consider an energy system with $n$ consumers who are linked by a Demand Side Management (DSM) contract, i.e. they agreed to diminish, at random times, their aggregated power consumption by a predefined volume during a predefined duration. Their fa
Externí odkaz:
http://arxiv.org/abs/2101.06031
We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and lends itself well to numerical implementation. We consider mean-field gam
Externí odkaz:
http://arxiv.org/abs/2011.11533