181 citations · 548 across the 46 of their papers we have counts for
6 papers · 1 filter
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…
Deep Learning for Mean Field Games and Mean Field Control with Applications to Finance
René Carmona, Mathieu Laurière
Financial markets and more generally macro-economic models involve a large number of individuals interacting through variables such as prices resulting from the aggregate behavior…
Finite State Graphon Games with Applications to Epidemics
Alexander Aurell, Rene Carmona, Gokce Dayanikli +1
We consider a game for a continuum of non-identical players evolving on a finite state space. Their heterogeneous interactions are represented by a graphon, which can be viewed as…
Stochastic Graphon Games: II. The Linear-Quadratic Case
Alexander Aurell, Rene Carmona, Mathieu Lauriere
In this paper, we analyze linear-quadratic stochastic differential games with a continuum of players interacting through graphon aggregates, each state being subject to idiosyncrat…
Optimal Execution with Quadratic Variation Inventories
Rene Carmona, Laura Leal
The first half of the paper is devoted to description and implementation of statistical tests arguing for the presence of a Brownian component in the inventories and wealth process…
Mean Field Models to Regulate Carbon Emissions in Electricity Production
Rene Carmona, Gokce Dayanikli, Mathieu Lauriere
The most serious threat to ecosystems is the global climate change fueled by the uncontrolled increase in carbon emissions. In this project, we use mean field control and mean fiel…