Mean–field moral hazard for optimal energy demand response management

DOI10.1111/mafi.12291zbMath1522.91170arXiv1902.10405MaRDI QIDQ6054139

Emma Hubert, Dylan Possamaï, Thibaut Mastrolia, Romuald Elie

Publication date: 27 September 2023

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1902.10405

zbMATH Keywords

moral hazardelectricity marketsmean-field games with common noisedemand response modelsMcKean-Vlasov controlled SDEs

Mathematics Subject Classification ID

Applications of game theory (91A80) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Consumer behavior, demand theory (91B42) Mean field games (aspects of game theory) (91A16) Principal-agent models (91B43)

Related Items (8)

Incentives, lockdown, and testing: from Thucydides' analysis to the COVID-19 pandemic ⋮ Governmental incentives for Green bonds investment ⋮ Mean field models to regulate carbon emissions in electricity production ⋮ Pollution Regulation for Electricity Generators in a Transmission Network ⋮ Principal-agent problem with multiple principals ⋮ Continuous-time incentives in hierarchies ⋮ An exit contract optimization problem ⋮ McKean–Vlasov Optimal Control: Limit Theory and Equivalence Between Different Formulations

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