A mean-field game approach to price formation in electricity markets

Abstract

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 condition. We establish the existence of a unique solution using a fixed-point argument. In particular, we show that the price is well-defined and it is a Lipschitz function of time. Then, we study linear-quadratic models that can be solved explicitly and compare our model with real data.

References in corpus (3)

• Electrical Vehicles in the Smart Grid: A Mean Field Game Analysis
• On a Boltzmann type price formation model
• A mean-field game economic growth model

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