4 papers
Reimagining Demand-Side Management with Mean Field Learning
Bianca Marin Moreno, Margaux Brégère, Pierre Gaillard +1
Integrating renewable energy into the power grid while balancing supply and demand is a complex issue, given its intermittent nature. Demand side management (DSM) offers solutions…
Particle system algorithm and chaos propagation related to non-conservative McKean type stochastic differential equations
Anthony Le Cavil, Nadia Oudjane, Francesco Russo
We discuss numerical aspects related to a new class of nonlinear Stochastic Differential Equations in the sense of McKean, which are supposed to represent non conservative nonlinea…
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Stéphane Goutte, Nadia Oudjane, Francesco Russo
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exp…
On some expectation and derivative operators related to integral representations of random variables with respect to a PII process
Stéphane Goutte, Nadia Oudjane, Francesco Russo
Given a process with independent increments (not necessarily a martingale) and a large class of square integrable r.v. , being the Fourier transform of a finite m…