181 citations · 548 across the 46 of their papers we have counts for
50 papers
A Singular Control Problem for Data Center Electricity Cost Minimization
Rene Carmona, Xiaoyu Cui
The goal of the paper is to provide a complete analysis of a stochastic control problem when the cost to minimize involves the running maximum of the underlying controlled state pr…
Synchronization in a Kuramoto Mean Field Game
Rene Carmona, Quentin Cormier, H. Mete Soner
The classical Kuramoto model is studied in the setting of an infinite horizon mean field game. The system is shown to exhibit both synchronization and phase transition. Incoherence…
Optimal Execution with Identity Optionality
Rene Carmona, Claire Zeng
This paper investigates the impact of anonymous trading on the agents' strategy in an optimal execution framework. It mainly explores the specificity of order attribution on the To…
Joint Stochastic Model for Electric Load, Solar and Wind Power at Asset Level and Monte Carlo Scenario GenerationRené Carmona \& Xinshuo Yang
Rene Carmona, Xinshuo Yang
For the purpose of Monte Carlo scenario generation, we propose a graphical model for the joint distribution of wind power and electricity demand in a given region. To conform with…
Mean Field Model for an Advertising Competition in a Duopoly
Rene Carmona, Gokce Dayanikli
In this study, we analyze an advertising competition in a duopoly. We consider two different notions of equilibrium. We model the companies in the duopoly as major players, and the…
GLASSO Model for Electric Load and Wind Power and Monte Carlo Scenario Generation
René Carmona, Xinshuo Yang
For the purpose of Monte Carlo scenario generation, we propose a graphical model for the joint distribution of wind power and electricity demand in a given region. To conform with…