Related papers: Multiperiod Groundwater Markets
This paper develops a new methodology for studying continuous-time Nash equilibrium in a financial market with asymmetrically informed agents. This approach allows us to lift the restriction of risk neutrality imposed on market makers by…
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…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
Examining the behavior of multi-agent systems is vitally important to many emerging distributed applications - game theory has emerged as a powerful tool set in which to do so. The main approach of game-theoretic techniques is to model…
We develop a stochastic game-theoretic model for intraday dispatch of grid-scale battery energy storage systems (BESSs). We assume that each BESS operator competitively manages her state-of-charge to maximize energy arbitrage revenues,…
Generative model ecosystems increasingly operate as competitive multi-platform markets, where platforms strategically select models from a shared pool and users with heterogeneous preferences choose among them. Understanding how platforms…
Optimal allocation of agricultural water in the event of droughts is an important global problem. In addressing this problem, many aspects, including the welfare of farmers, the economy, and the environment, must be considered. Under this…
This paper models a two-agent economy with production and appropriation as a noncooperative dynamic game, and determines its closed-form Markovian Nash equilibrium. The analysis highlights the para-metric conditions that tip the economy…
Traders constantly consider the price impact associated with changing their positions. This paper seeks to understand how price impact emerges from the quoting strategies of market makers. To this end, market making is modeled as a dynamic…
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a…
In two-player zero-sum stochastic games, where two competing players make decisions under uncertainty, a pair of optimal strategies is traditionally described by Nash equilibrium and computed under the assumption that the players have…
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…
We develop a model for the industry dynamics in the electricity market, based on mean-field games of optimal stopping. In our model, there are two types of agents: the renewable producers and the conventional producers. The renewable…
We propose a real-time nodal pricing mechanism for cost minimization and voltage control in a distribution network with autonomous distributed energy resources and analyze the resulting market using stochastic game theory. Unlike existing…
This paper considers the discounted criterion of nonzero-sum decentralized stochastic games with prospect players. The state and action spaces are finite. The state transition probability is nonstationary. Each player independently controls…
Electric storage units constitute a key element in the emerging smart grid system. In this paper, the interactions and energy trading decisions of a number of geographically distributed storage units are studied using a novel framework…
We investigate stochastic differential games of optimal trading comprising a finite population. There are market frictions in the present framework, which take the form of stochastic permanent and temporary price impacts. Moreover,…
We study a class of dynamic decision problems of mean field type with time inconsistent cost functionals, and derive a stochastic maximum principle to characterize subgame perfect Nash equilibrium points. Subsequently, this approach is…
We study the design of decision-making mechanism for resource allocations over a multi-agent system in a dynamic environment. Agents' privately observed preference over resources evolves over time and the population is dynamic due to the…
In this paper we introduce a capacity allocation game which models the problem of maximizing network utility from the perspective of distributed noncooperative agents. Motivated by the idea of self-managed networks, in the developed…