6 citations · 10 across the 3 of their papers we have counts for
3 papers
Optimal Portfolio in Intraday Electricity Markets Modelled by Lévy-Ornstein-Uhlenbeck Processes
Marco Piccirilli, Tiziano Vargiolu
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the contin…
Additive energy forward curves in a Heath-Jarrow-Morton framework
Fred Espen Benth, Marco Piccirilli, Tiziano Vargiolu
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain pe…
Existence of positive solutions for an approximation of stationary mean-field games
Nojood Almayouf, Elena Bachini, Andreia Chapouto +22
Here, we consider a regularized mean-field game model that features a low-order regularization. We prove the existence of solutions with positive density. To do so, we combine a pr…