4 papers · 1 filter
Deep Learning for Energy Market Contracts: Dynkin Game with Doubly RBSDEs
Nacira Agram, Ihsan Arharas, Giulia Pucci +1
We formulate a Contract for Difference (CfD) with early exit options as a two-player zero-sum Dynkin game, reflecting the strategic interaction between an electricity producer and…
SPDE Games Driven by a Brownian Sheet with Applications to Pollution Minimization
Nacira Agram, Bernt Ãksendal, Frank Proske +1
This paper studies a nonzero-sum stochastic differential game in the context of shared spatial-domain pollution control. The pollution dynamics are governed by a stochastic partial…
Spatially Controlled Evolution of Composite Materials via Stochastic Partial Differential Equations
Nacira Agram, Isabelle Turpin, Eya Zougar
This paper investigates a class of controlled stochastic partial differential equations (SPDEs) arising in the modeling of composite materials with spatially varying properties. Th…
Installation of renewable capacities to meet emission targets and demand under uncertainty
Nacira Agram, Fred Espen Benth, Giulia Pucci
This paper focuses on minimizing the costs related to renewable energy installations under emission constraints. We tackle the problem in three different cases. Assuming intervenin…