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

2014 ◽  
Author(s):  
Nevroz Sen ◽  
Peter E. Caines
Keyword(s):  
Mean Field ◽  
Mean Field Games ◽  
Major Player ◽  
Partially Observed

scholarly journals Price Formation and Optimal Trading in Intraday Electricity Markets with a Major Player

Risks ◽  
2020 ◽  
Vol 8 (4) ◽  
pp. 133
Author(s):  
Olivier Féron ◽  
Peter Tankov ◽  
Laura Tinsi
Keyword(s):  
Nash Equilibrium ◽  
Electricity Markets ◽  
Mean Field ◽  
Optimal Strategies ◽  
Price Formation ◽  
Mean Field Games ◽  
Optimal Trading ◽  
Major Player ◽  
Major Producer ◽  
Small Producers

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.

scholarly journals Strategic advantages in mean field games with a major player

2020 ◽  
Vol 358 (2) ◽  
pp. 113-118
Author(s):  
Charles Bertucci ◽  
Jean-Michel Lasry ◽  
Pierre-Louis Lions
Keyword(s):  
Mean Field ◽  
Mean Field Games ◽  
Major Player

scholarly journals Mean-field games with a major player

2018 ◽  
Vol 356 (8) ◽  
pp. 886-890 ◽  
Author(s):  
Jean-Michel Lasry ◽  
Pierre-Louis Lions
Keyword(s):  
Mean Field ◽  
Mean Field Games ◽  
Major Player
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