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math.OC2020
McKean-Vlasov optimal control: limit theory and equivalence between different formulations
Fabrice Mao Djete, Dylan Possamaï, Xiaolu Tan
We study a McKean-Vlasov optimal control problem with common noise, in order to establish the corresponding limit theory, as well as the equivalence between different formulations,…
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…