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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…
math.OC2024
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…