Séminaire FDD-FiME // R. Dumitrescu

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Séminaire FDD-FiME // R. Dumitrescu

23 septembre @ 14 h 00 min - 15 h 00 min

Roxana Dumitrescu (King's College London)
Titre: MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts
We consider an energy system with n consumers who are linked by a Demand Side Management (DSM) contract, i.e. they agreed to diminish, at random times, their aggregated power consumption by a predefined volume during a predefined duration. Their failure to deliver the service is penalised via the difference between the sum of the n power consumptions and the contracted target. We are led to analyse a non-zero sum stochastic game with n players, where the interaction takes place through a cost which involves a delay induced by the duration included in the DSM contract. When n→∞, we obtain a Mean-Field Game (MFG) with random jump time penalty and interaction on the control. We prove a stochastic maximum principle in this context, which allows to compare the MFG solution to the optimal strategy of a central planner. In a linear quadratic setting we obtain an semi-explicit solution through a system of decoupled forward-backward stochastic differential equations with jumps, involving a Riccati Backward SDE with jumps. We show that it provides an approximate Nash equilibrium for the original n-player game for n large. Finally, we propose a numerical algorithm to compute the MFG equilibrium and present several numerical experiments.
A joint work with Clémence Alasseur (EDF R&D), Luciano Campi (Università degli Studi di Milano) & Jia Zeng (King's College London & HKU)


Date :
23 septembre
Heure :
14 h 00 min - 15 h 00 min


Institut Henri Poincaré