Related papers: A Mean Field Game for Capacity Expansion Modeling
The standard solution concept for stochastic games is Markov perfect equilibrium (MPE); however, its computation becomes intractable as the number of players increases. Instead, we consider mean field equilibrium (MFE) that has been…
In this paper, we propose and study a mean field game model with multiple populations of minor players and multiple major players, motivated by applications to the regulation of carbon emissions. Each population of minor players represent a…
In modern buildings renewable energy generators and storage devices are spreading, and consequently the role of the users in the power grid is shifting from passive to active. We design a demand response scheme that exploits the prosumers'…
In this work, we present an application of the probabilistic weak formulation of mean field games (MFG) for modeling liquidity pools in a constant product automated market maker (AMM) protocol in the context of decentralized finance. Our…
This paper studies the dynamic pricing mechanism for data products in demand-driven markets through a game-theoretic framework. We develop a three-tier Stackelberg game model to capture the hierarchical strategic interactions among key…
The rapid increase of photovoltaic cells, batteries, and Electric Vehicles (EVs) in electric grids can result in congested distribution networks. An alternative to enhancing network capacity is a redispatch market, allowing Distribution…
The interplay between risk aversion and financial derivatives has received increasing attention since the advent of electricity market liberalization. One important challenge in this context is how to develop economically efficient and…
In this work, we develop an equilibrium model for price formation of securities in a market composed of two populations of different types: the first one consists of cooperative agents, while the other one consists of non-cooperative…
Competition has been introduced in the electricity markets with the goal of reducing prices and improving efficiency. The basic idea which stays behind this choice is that, in competitive markets, a greater quantity of the good is exchanged…
This paper develops a linear programming approach for mean field games with reflected jump-diffusion dynamics. We first prove the equivalence between the mean field equilibria in the linear programming formulation and those in the weak…
In this paper, we present a model of a game among teams. Each team consists of a homogeneous population of agents. Agents within a team are cooperative while the teams compete with other teams. The dynamics and the costs are coupled through…
Principal agent games are a growing area of research which focuses on the optimal behaviour of a principal and an agent, with the former contracting work from the latter, in return for providing a monetary award. While this field…
An existing challenge in power systems is the implementation of optimal demand management through dynamic pricing. This paper encompasses the design, analysis and implementation of a novel on-line pricing scheme based on coalitional game…
Mean-field games have been studied under the assumption of very large number of players. For such large systems, the basic idea consists to approximate large games by a stylized game model with a continuum of players. The approach has been…
We investigate how asymmetric information affects equilibrium price formation in an economy with many interacting agents. Motivated by a finite-player model with two populations of asymmetrically informed agents, we study its mean-field…
In this article, we consider mean field games between a dominating player and a group of representative agents, each of which acts similarly and also interacts with each other through a mean field term being substantially influenced by the…
In two-stage electricity markets, renewable power producers enter the day-ahead market with a forecast of future power generation and then reconcile any forecast deviation in the real-time market at a penalty. The choice of the forecast…
We formulate a class of mean field games on a finite state space with variational principles resembling those in continuous-state mean field games. We construct a controlled continuity equation featuring a nonlinear activation function on…
The mean field games (MFG) paradigm was introduced to provide tractable approximations of games involving very large populations. The theory typically rests on two key assumptions: homogeneity, meaning that all players share the same…
In this article, we investigate the competitive interaction between electrical vehicles or hybrid oil-electricity vehicles in a Cournot market consisting of electricity transactions to or from an underlying electricity distribution network.…