1 citations · 1 across the 2 of their papers we have counts for
5 papers · 1 filter
Zero-sum mean-field Dynkin games: characterization and convergence
Boualem Djehiche, Roxana Dumitrescu
We introduce a zero-sum game problem of mean-field type as an extension of the classical zero-sum Dynkin game problem to the case where the payoff processes might depend on the val…
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts
Clémence Alasseur, Luciano Campi, Roxana Dumitrescu +1
We consider an energy system with consumers who are linked by a Demand Side Management (DSM) contract, i.e. they agreed to diminish, at random times, their aggregated power con…
Control and optimal stopping Mean Field Games: a linear programming approach
Roxana Dumitrescu, Marcos Leutscher, Peter Tankov
We develop the linear programming approach to mean-field games in a general setting. This relaxed control approach allows to prove existence results under weak assumptions, and len…
The entry and exit game in the electricity markets: a mean-field game approach
René Aïd, Roxana Dumitrescu, Peter Tankov
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 pr…
Mean-field games of optimal stopping: a relaxed solution approach
Géraldine Bouveret, Roxana Dumitrescu, Peter Tankov
We consider the mean-field game where each agent determines the optimal time to exit the game by solving an optimal stopping problem with reward function depending on the density o…