output
20122025
most citedA probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation

39 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions

6 papers

econ.GN2025

Emission impossible: Balancing Environmental Concerns and Inflation

René Aïd, Maria Arduca, Sara Biagini +1

We provide a theoretical framework to examine how carbon pricing policies influence inflation and to estimate the policy-driven impact on goods prices from achieving net-zero emiss…

math.OC2024

Continuous-time persuasion by filtering

René Aïd, Ofelia Bonesini, Giorgia Callegaro +1

We frame dynamic persuasion in a partial observation stochastic control Leader-Follower game with an ergodic criterion. The Receiver controls the dynamics of a multidimensional uno…

math.OC2021

Nonzero-sum stochastic impulse games with an application in competitive retail energy markets

René Aïd, Lamia Ben Ajmia, M'hamed Gaïgi +1

We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total exp…

q-fin.CP2020★ 3 cited

Equilibrium price in intraday electricity markets

René Aid, Andrea Cosso, Huyên Pham

We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their pr…

math.OC2020

Strategic information transmission with sender's approval

Françoise Forges, Jérôme Renault

We consider a sender-receiver game with an outside option for the sender. After the cheap talk phase, the receiver makes a proposal to the sender, which the latter can reject. We s…

math.NA2012★ 39 cited

A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation

René Aïd, Luciano Campi, Nicolas Langrené +1

In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal mul…