Price Dynamics for Electricity in Smart Grid Via Mean-Field-Type Games

Boualem Djehiche, Julian Barreiro-Gomez () and Hamidou Tembine ()
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Julian Barreiro-Gomez: New York University Abu Dhabi
Hamidou Tembine: New York University Abu Dhabi

Dynamic Games and Applications, 2020, vol. 10, issue 4, No 2, 798-818

Abstract: Abstract In this article, a profit optimization between electricity producers is formulated and solved. The problem is described by a linear jump-diffusion system of conditional mean-field type where the conditioning is with respect to common noise and a quadratic cost functional involving the second moment, the square of the conditional expectation of the control actions of the producers. We provide semi-explicit solution of the corresponding mean-field-type game problem with common noise. The equilibrium strategies are in state-and-conditional mean-field feedback form, where the mean-field term is the conditional price given the realization of the global uncertainty. The methodology is extended to a situation of incomplete information mean-field-type game in which each producer knows its own type but not the types of the other producers. We compute the Bayesian mean-field-type equilibrium in a semi-explicit way and show that it is not ex post resilient.

Keywords: Electricity price dynamics; Mean-field-type games; Smart grids (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s13235-020-00367-8

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