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Credit Valuation Adjustment captures the difference in the value of derivative contracts when the counterparty default probability is taken into account. However, in the context of a network of contracts, the default probability of a direct…
Electric vehicle (EV) is a significant type of distributed energy resources (DERs), that provide flexibilities to grid operators to achieve a myriad of objectives. This paper presents a comprehensive modeling framework of EVs under multiple…
We study the revenue performance of sequential posted price mechanisms and some natural extensions, for a general setting where the valuations of the buyers are drawn from a correlated distribution. Sequential posted price mechanisms are…
This study examines the mechanism design problem for public goods provision in a large economy with $n$ independent agents. We propose a class of dominant-strategy incentive compatible and ex-post individually rational mechanisms, which we…
Public electric vehicle (EV) charging infrastructure has expanded rapidly, yet utilization across charging stations remains uneven and often inefficient. Existing operator-determined pricing schemes offer limited flexibility to coordinate…
A high penetration of electric vehicles (EVs) will deeply impact the management of electric power systems. To avoid costly grid reinforcements and the risk of load curtailment due to EV charging, indirect load control via adapted economic…
In this paper we study the pricing of exchange options when underlying assets have stochastic volatility and stochastic correlation. An approximation using a closed-form approximation based on a Taylor expansion of the conditional price is…
The introduction of autonomous (self-driving) and shared autonomous vehicles (AVs and SAVs) will affect travel destinations and distances, mode choice, and congestion. From a traffic perspective, although some congestion reduction may be…
Reciprocal transformations mix the role of the dependent and independent variables to achieve simpler versions or even linearized versions of nonlinear PDEs. These transformations help in the identification of a plethora of PDEs available…
Worst-case risk measures refer to the calculation of the largest value for risk measures when only partial information of the underlying distribution is available. For the popular risk measures such as Value-at-Risk (VaR) and Conditional…
When making a decision as a group, there are two primary paradigms: aggregating preferences (e.g. voting, mechanism design) and aggregating information (e.g. discussion, consulting, forecasting). Almost all formally-studied group…
Using Green$'$s function and operator techniques we give a closed expression for the response of a non-relativistic system interacting through confining, harmonic forces. The expression for the incoherent part permits rapid evaluation of…
The implementation of efficient demand response (DR) programs for household electricity consumption would benefit from data-driven methods capable of simulating the impact of different tariffs schemes. This paper proposes a novel method…
We propose a conceptual framework for counterfactual and welfare analysis for approximate models. Our key assumption is that model approximation error is the same magnitude at new choices as the observed data. Applying the framework to…
We suggest a new approach to creation of general market equilibrium models involving economic agents with local and partial knowledge about the system and under different restrictions. The market equilibrium problem is then formulated as a…
A class of evolution variational inequalities (EVIs), which comprises ordinary differential equations (ODEs) coupled with variational inequalities (VIs) associated with time-varying set-valued mappings, is proposed in this paper. We first…
In this article, we introduce the concept of energy-variational solutions for a large class of systems of nonlinear evolutionary partial differential equations. Under certain convexity assumptions, the existence of such solutions can be…
Classical solvable stochastic volatility models (SVM) use a CEV process for instantaneous variance where the CEV parameter $\gamma$ takes just few values: 0 - the Ornstein-Uhlenbeck process, 1/2 - the Heston (or square root) process, 1-…
A popular approach for addressing uncertainty in variational inequality problems is by solving the expected residual minimization (ERM) problem. This avenue necessitates distributional information associated with the uncertainty and…
The marginal price of electricity traditionally depends on the dual variables associated with relevant optimization goals. Particularly, in the optimal power flow realm, prices represent the cost of supplying an additional unit of power at…