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math.OC2026
Modeling Stochastic Multi-Agent Interaction in Intraday Battery Energy Storage Dispatch with Market Power
Ruimeng Hu, Mike Ludkovski, Hezhong Zhang
We develop a stochastic game-theoretic model for intraday dispatch of grid-scale battery energy storage systems (BESSs). We assume that each BESS operator competitively manages her…
math.OC2026
An Actor-Critic Framework for Continuous-Time Jump-Diffusion Controls with Normalizing Flows
Liya Guo, Ruimeng Hu, Xu Yang +1
Continuous-time stochastic control with time-inhomogeneous jump-diffusion dynamics is central in finance and economics, but computing optimal policies is difficult under explicit t…