A mean-field game model of electricity market dynamics

Fuente: arXiv
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Autores principales: Bassière, Alicia, Dumitrescu, Roxana, Tankov, Peter
Formato: Preprint
Publicado: 2023
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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