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math.OC2021
A McKean-Vlasov game of commodity production, consumption and trading
René Aïd, Ofelia Bonesini, Giorgia Callegaro +1
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the co…
math.OC2018
Optimal electricity demand response contracting with responsiveness incentives
René Aïd, Dylan Possamaï, Nizar Touzi
Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their eff…