Price models in mean-field games

Description:  In this talk, we introduce a price-formation model for electricity markets where a large number of small players can store and trade electricity. Our model is a constrained mean-field game (MFG) where the price is a  Lagrange multiplier for the supply vs. demand balance condition. Under mild conditions, we prove the uniqueness of the solution.  Next, we examine some linear-quadratic models and finite-number of agent problems that have explicit solutions. Finally, we examine the well-posedness of the system and existence of solutions. Date:  2018-03-21 Start Time:   11:00 Speaker:  Diogo Gomes (KAUST, Saudi Arabia) Institution:  KAUST, Saudi Arabia Place:  Sala 5.5 Research Groups: -Analysis See more:   <Main>