5 papers
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…
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…
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…
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…
Network-Based Optimal Control of Pollution Growth
Fausto Gozzi, Marta Leocata, Giulia Pucci
This paper studies a model for the optimal control (by a centralized economic agent which we call the planner) of pollution diffusion over time and space. The controls are the inve…