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We study the problem of demand response contracts in electricity markets by quantifying the impact of considering a mean-field of consumers, whose consumption is impacted by a common noise.
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The intensity of incentives in firms and markets: moral hazard with envious agents
B. Bartling and F. von Siemens · 2010
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Optimal incentive contracts under relative income concerns
L. Goukasian and X. Wan · 2010
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Piece–rate contracts for other–regarding workers
W.S. Neilson and J. Stowe · 2010
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J. Cvitanić and J. Zhang · 2012
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A. Bensoussan, J. Frehse, and S.C.P. Yam · 2013
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Moral hazard in dynamic risk management
J. Cvitanić, D. Possamaï, and N. Touzi · 2017
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Dynamic programming for optimal control of stochastic McKean–Vlasov dynamics
H. Pham and X. Wei · 2017
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Optimal electricity demand response contracting with responsiveness incentives
R. Aïd, D. Possamaï, and N. Touzi · 2018
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Randomized dynamic programming principle and Feynman–Kac representation for optimal control of McKean–Vlasov dynamics
E. Bayraktar, A. Cosso, and H. Pham · 2018
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A unified approach to
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Measurability of semimartingale characteristics with respect to the probability law
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The master equation in mean field theory
A. Bensoussan, J. Frehse, and S.C.P. Yam · 2015
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R. Carmona and D. Lacker · 2015
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Stochastic calculus and applications
S.N. Cohen and R.J. Elliott · 2015
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Neighbors, knowledge, and nuggets: two natural field experiments on the role of incentives on energy conservation
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R. Carmona and F. Delarue · 2018
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Finite–state contract theory with a principal and a field of agents
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Dynamic programming approach to principal–agent problems
J. Cvitanić, D. Possamaï, and N. Touzi · 2018
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Second order backward SDE with random terminal time
Y. Lin, Z. Ren, N. Touzi, and J. Yang · 2018
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Bellman equation and viscosity solutions for mean–field stochastic control problem
H. Pham and X. Wei · 2018
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Stochastic control for a class of nonlinear kernels and applications
D. Possamaï, X. Tan, and C. Zhou · 2018
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McKean–Vlasov optimal control: the dynamic programming principle
M.F. Djete, D. Possamaï, and X. Tan · 2019
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Contracting theory with competitive interacting agents
R. Élie and D. Possamaï · 2019
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A tale of a principal and many many agents
R. Élie, T. Mastrolia, and D. Possamaï · 2019
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M.F. Djete, D. Possamaï, and X. Tan · 2020
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