4 papers
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…
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…
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…
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…