A mean-field game model of electricity market dynamics
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2023
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| _version_ | 1866929195169349632 |
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| author | Bassière, Alicia Dumitrescu, Roxana Tankov, Peter |
| author_facet | Bassière, Alicia Dumitrescu, Roxana Tankov, Peter |
| contents | We develop a model for the long-term dynamics of electricity market, based on mean-field games of optimal stopping. Our paper extends the recent contribution [Aïd, René, Roxana Dumitrescu, and Peter Tankov, ``The entry and exit game in the electricity markets: A mean-field game approach." Journal of Dynamics \& Games 8.4 (2021): 331] in several ways, making the model much more realistic, especially for describing the medium-term impacts of energy transition on electricity markets. In particular, we allow for an arbitrary number of technologies with endogenous fuel prices and enable the agents to both invest and divest. This makes it possible to describe the role of gas generation as a medium-term substitute for coal, to be replaced by renewable generation in the long term, and enables us to model the events like the 2022 energy price crisis. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2312_17691 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | A mean-field game model of electricity market dynamics Bassière, Alicia Dumitrescu, Roxana Tankov, Peter Optimization and Control We develop a model for the long-term dynamics of electricity market, based on mean-field games of optimal stopping. Our paper extends the recent contribution [Aïd, René, Roxana Dumitrescu, and Peter Tankov, ``The entry and exit game in the electricity markets: A mean-field game approach." Journal of Dynamics \& Games 8.4 (2021): 331] in several ways, making the model much more realistic, especially for describing the medium-term impacts of energy transition on electricity markets. In particular, we allow for an arbitrary number of technologies with endogenous fuel prices and enable the agents to both invest and divest. This makes it possible to describe the role of gas generation as a medium-term substitute for coal, to be replaced by renewable generation in the long term, and enables us to model the events like the 2022 energy price crisis. |
| title | A mean-field game model of electricity market dynamics |
| topic | Optimization and Control |
| url | https://arxiv.org/abs/2312.17691 |