4 citations · 21 across the 17 of their papers we have counts for
4 papers · 1 filter
Energy transition under scenario uncertainty: a mean-field game of stopping with common noise
Roxana Dumitrescu, Marcos Leutscher, Peter Tankov
We study the impact of transition scenario uncertainty, namely that of future carbon price and electricity demand, on the pace of decarbonization of the electricity industry. To th…
A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings
Clémence Alasseur, Erhan Bayraktar, Roxana Dumitrescu +1
In this paper, we consider the problem of a Principal aiming at designing a reward function for a population of heterogeneous agents. We construct an incentive based on the ranking…
Linear Programming Fictitious Play algorithm for Mean Field Games with optimal stopping and absorption
Roxana Dumitrescu, Marcos Leutscher, Peter Tankov
We develop the fictitious play algorithm in the context of the linear programming approach for mean field games of optimal stopping and mean field games with regular control and ab…
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…