Mean field games with partially observed major player and stochastic mean field

Author(s):  
Nevroz Sen ◽  
Peter E. Caines
Risks ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 133
Author(s):  
Olivier Féron ◽  
Peter Tankov ◽  
Laura Tinsi

We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in a closed form in the asymptotic framework of mean field games with a major player.


2020 ◽  
Vol 358 (2) ◽  
pp. 113-118
Author(s):  
Charles Bertucci ◽  
Jean-Michel Lasry ◽  
Pierre-Louis Lions

2018 ◽  
Vol 356 (8) ◽  
pp. 886-890 ◽  
Author(s):  
Jean-Michel Lasry ◽  
Pierre-Louis Lions

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