Related papers: A Mean Field Game for Capacity Expansion Modeling
We introduce a mean-field framework for the study of systems of interacting particles sharing a conserved quantity. The work generalises and unites the existing fields of asset-exchange models, often applied to socio-economic systems, and…
The rapid expansion of distributed energy resources (DERs) is one of the most significant changes to electricity systems around the world. Examples of DERs include solar panels, small natural gas-fueled generators, combined heat and power…
This work builds on the theoretical frameworks presented in "Liquidity pools as mean field games: A new framework" and "Liquidity pools as mean field games with transaction costs" by the same author, where the strategic interactions among…
Here, we introduce a price-formation model where a large number of small players can store and trade electricity. Our model is a constrained mean-field game (MFG) where the price is a Lagrange multiplier for the supply vs. demand balance…
We consider a class of $N$-player games and mean-field games of singular controls with ergodic performance criterion, providing a benchmark case for irreversible investment games featuring mean-field interaction and strategic…
We study optimal portfolio choice models in markets with partial information about the stock's drift. We solve the single agent problem for general utilities using a new approach that yields regularity of the value function and closed form…
In It\^{o}-diffusion environments, we introduce and analyze $N$-player and common-noise mean-field games in the context of optimal portfolio choice in a common market. The players invest in a finite horizon and also interact, driven either…
This paper considers mean field games in a multi-agent Markov decision process (MDP) framework. Each player has a continuum state and binary action. By active control, a player can bring its state to a resetting point. All players are…
An important scenario for smart grids which encompass distributed electrical networks is given by the simultaneous presence of aggregators and individual consumers. In this work, an aggregator is seen as an entity (a coalition) which is…
The growing integration of renewable energy sources necessitates adequate reserve capacity to maintain power balance. However, in market clearing, power companies with flexible resources may submit strategic bids to maximize profits,…
By utilizing tools from game theory, we develop a novel multi-period-multi-company demand response framework considering the interactions between companies (sellers of energy) and their consumers (buyers of energy). We model the…
The processes of interplant competition within a field are still poorly understood. However, they explain a large part of the heterogeneity in a field and may have longer-term consequences, especially in mixed stands. Modeling can help to…
We study continuous-time heterogeneous agent models cast as Mean Field Games, in the Aiyagari-Bewley-Huggett framework. The model couples a Hamilton-Jacobi-Bellman equation for individual optimization with a Fokker-Planck-Kolmogorov…
We demonstrate the versatility of mean-field games (MFGs) as a mathematical framework for explaining, enhancing, and designing generative models. In generative flows, a Lagrangian formulation is used where each particle (generated sample)…
We study the dynamic pricing of discrete goods over a finite selling horizon. One way to capture both the elastic and stochastic reaction of purchases to price is through a model where sellers control the intensity of a counting process,…
We consider a Mean Field Games model where the dynamics of the agents is subdiffusive. According to the optimal control interpretation of the problem, we get a system involving fractional time-derivatives for the Hamilton-Jacobi-Bellman and…
We prove the global-in-time well-posedness for a broad class of mean field game problems, which is beyond the special linear-quadratic setting, as long as the mean field sensitivity is not too large. Through the stochastic maximum…
Self-interested behavior in sharing economies often leads to inefficient aggregate outcomes compared to a centrally coordinated allocation, ultimately harming users. Yet, centralized coordination removes individual decision power. This…
In this work, we systematically investigate mean field games and mean field type control problems with multiple populations using a coupled system of forward-backward stochastic differential equations of McKean-Vlasov type stemming from…
The capacity market, a marketplace to exchange available generation capacity for electricity production, provides a major revenue stream for generators and is adopted in several U.S. regions. A subject of ongoing debate, the capacity market…