32 citations · 104 across the 30 of their papers we have counts for
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math.OC2020★ 2 cited
Optimal control of path-dependent McKean-Vlasov SDEs in infinite dimension
Andrea Cosso, Fausto Gozzi, Idris Kharroubi +2
We study the optimal control of path-dependent McKean-Vlasov equations valued in Hilbert spaces motivated by non Markovian mean-field models driven by stochastic PDEs. We first est…
q-fin.CP2020★ 3 cited
Equilibrium price in intraday electricity markets
René Aid, Andrea Cosso, Huyên Pham
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their pr…