153 citations · 427 across the 46 of their papers we have counts for
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math.PR2019★ 2 cited
Mean-field reflected backward stochastic differential equations
Boualem Djehiche, Romuald Elie, Said Hamadène
In this paper, we study a class of reflected backward stochastic differential equations (BSDEs) of mean-field type, where the mean-field interaction in terms of the distribution of…
math.PR2019
Mean-field moral hazard for optimal energy demand response management
Romuald Elie, Emma Hubert, Thibaut Mastrolia +1
We study the problem of demand response contracts in electricity markets by quantifying the impact of considering a mean-field of consumers, whose consumption is impacted by a comm…