153 citations · 427 across the 46 of their papers we have counts for
3 papers · 1 filter
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…
On the Convergence of Model Free Learning in Mean Field Games
Romuald Elie, Julien Pérolat, Mathieu Laurière +2
Learning by experience in Multi-Agent Systems (MAS) is a difficult and exciting task, due to the lack of stationarity of the environment, whose dynamics evolves as the population l…
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…