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math.OC2018
On the Root solution to the Skorokhod embedding problem given full marginals
Alexandre Richard, Xiaolu Tan, Nizar Touzi
This paper examines the Root solution of the Skorohod embedding problem given full marginals on some compact time interval. Our results are obtained by limiting arguments based on…
math.OC2018
Optimal electricity demand response contracting with responsiveness incentives
René Aïd, Dylan Possamaï, Nizar Touzi
Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their eff…