3 papers
math.OC2026
A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings
Clémence Alasseur, Erhan Bayraktar, Roxana Dumitrescu +1
In this paper, we consider the problem of a Principal aiming at designing a reward function for a population of heterogeneous agents. We construct an incentive based on the ranking…
math.NA2024
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu +1
In this paper, we introduce various machine learning solvers for (coupled) forward-backward systems of stochastic differential equations (FBSDEs) driven by a Brownian motion and a…
math.OC2024
Ergodic control of a heterogeneous population and application to electricity pricing
Quentin Jacquet, Wim van Ackooij, Clémence Alasseur +1
We consider a control problem for a heterogeneous population composed of agents able to switch at any time between different options. The controller aims to maximize an average gai…