3 papers
eess.SY2025
A Deep Learning Approach to Renewable Capacity Installation under Jump Uncertainty
Nacira Agram, Fred Espen Benth, Giulia Pucci +1
We study a stochastic model for the installation of renewable energy capacity under demand uncertainty and jump driven dynamics. The system is governed by a multidimensional Ornste…
math.PR2025
Deep BSVIEs Parametrization and Learning-Based Applications
Nacira Agram, Giulia Pucci
We study the numerical approximation of backward stochastic Volterra integral equations (BSVIEs) and their reflected extensions, which naturally arise in problems with time inconsi…
math.OC2025
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…