Related papers: A refined consumer behavior model for energy syste…

We investigate expected utility maximization problems from the terminal liquidation value in continuous time in markets with transaction costs and one fixed consistent price system, where a non-concave utility function is defined on the…

With the advent of prosumers, the traditional centralized operation may become impracticable due to computational burden, privacy concerns, and conflicting interests. In this paper, an energy sharing mechanism is proposed to accommodate…

In electricity markets, customers are increasingly constrained by their budgets. A budget constraint for a user is an upper bound on the price multiplied by the quantity. However, since prices are determined by the market equilibrium, the…

We consider the problem of forecasting the aggregate demand of a pool of price-responsive consumers of electricity. The price-response of the aggregation is modeled by an optimization problem that is characterized by a set of marginal…

We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…

A central challenge in using price signals to coordinate the electricity consumption of a group of users is the operator's lack of knowledge of the users due to privacy concerns. In this paper, we develop a two-time-scale incentive…

We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…

Understanding the energy consumption patterns of different types of consumers is essential in any planning of energy distribution. However, obtaining consumption information for single individuals is often either not possible or too…

The conventional practice of retail electric utilities is to aggregate customers geographically. The utility purchases electricity for its customers via bulk transactions on the wholesale market, and it passes these costs along to its…

We consider a utility maximization problem for an investment-consumption portfolio when the current utility depends also on the wealth process. Such kind of problems arise, e.g., in portfolio optimization with random horizon or with random…

We study an online revenue maximization problem where the consumers arrive i.i.d from some unknown distribution and purchase a bundle of products from the sellers. The classical approach generally assumes complete knowledge of the consumer…

The amount of transmitted data in computer networks is expected to grow considerably in the future, putting more and more pressure on the network infrastructures. In order to guarantee a good service, it then becomes fundamental to use the…

We study a continuous-time expected utility maximization problem in which the investor at maturity receives the value of a contingent claim in addition to the investment payoff from the financial market. The investor knows nothing about the…

We study a general robust utility maximization problem in a discrete-time frictionless market. The investor is assumed to have a possibly infinite, random, nonconcave, and nondecreasing utility function defined on the whole real line. She…

In this paper the robust utility maximization problem for a market model based on L\'evy processes is analyzed. The interplay between the form of the utility function and the penalization function required to have a well posed problem is…

We present the first analysis of Fisher markets with buyers that have budget-additive utility functions. Budget-additive utilities are elementary concave functions with numerous applications in online adword markets and revenue optimization…

We study the sensitivity of the expected utility maximization problem in a continuous semi-martingale market with respect to small changes in the market price of risk. Assuming that the preferences of a rational economic agent are modeled…

We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…

We consider a utility maximization problem in a broad class of markets. Apart from traditional semimartingale markets, our class of markets includes processes with long memory, fractional Brownian motion and related processes, and, in…

This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a…