MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts
Author:
Funder
Agence Nationale de la Recherche
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://link.springer.com/content/pdf/10.1007/s10479-023-05270-0.pdf
Reference26 articles.
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3. Benazzoli, C., Campi, L., & Di Persio, L. (2019). $$\varepsilon $$-Nash equilibrium in stochastic differential games with mean-field interaction and controlled jumps. Statistics & Probability Letters, 154, 108522.
4. Benazzoli, C., Campi, L., & Di Persio, L. (2020). Mean field games with controlled jump-diffusion dynamics. Existence results and an illiquid interbank market model. Stochastic Processes and their Applications, 130, 6927–6964.
5. Brémaud, P., & Yor, M. (1978). Changes of filtrations and of probability measures. Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete, 45, 269–295.
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