René Aïd
YOU?
Author Swipe
View article: Competition and Incentives in a Shared Order Book
Competition and Incentives in a Shared Order Book Open
Recent regulation on intraday electricity markets has led to the development of shared order books with the intention to foster competition and increase market liquidity. In this paper, we address the question of the efficiency of such reg…
View article: Exit Incentives for Carbon Emissive Firms
Exit Incentives for Carbon Emissive Firms Open
We develop a continuous-time model of incentives for carbon emissive firms to exit the market based on a compensation payment identical to all firms. In our model, firms enjoy profits from production modeled as a simple geometric Brownian …
View article: Emission impossible: Balancing Environmental Concerns and Inflation
Emission impossible: Balancing Environmental Concerns and Inflation Open
We provide a theoretical framework to examine how carbon pricing policies influence inflation and to estimate the policy-driven impact on goods prices from achieving net-zero emissions. Firms control emissions by adjusting production, abat…
View article: Continuous-time persuasion by filtering
Continuous-time persuasion by filtering Open
We frame dynamic persuasion in a partial observation stochastic control Leader-Follower game with an ergodic criterion. The Receiver controls the dynamics of a multidimensional unobserved state process. Information is provided to the Recei…
View article: Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets
Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets Open
We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total expected discounted profits. The resolution methodology relies…
View article: A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy
A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy Open
We consider a mean-field model of firms competing à la Cournot on a commodity market, where the commodity price is given in terms of a power inverse demand function of the industry-aggregate production. Investment is irreversible and produ…
View article: A Principal-Agent Model for Optimal Incentives in Renewable Investments
A Principal-Agent Model for Optimal Incentives in Renewable Investments Open
We investigate the optimal regulation of energy production in alignment with the long-term goals of the Paris Climate Agreement. We analyze the optimal regulatory incentives to foster the development of non-emissive electricity generation …
View article: Optimal Electricity Demand Response Contracting with Responsiveness Incentives
Optimal Electricity Demand Response Contracting with Responsiveness Incentives Open
Demand response programs in retail electricity markets are very popular. However, despite their success in reducing average consumption, the random responsiveness of consumers to price events makes their efficiency questionable to achieve …
View article: Equilibrium price in intraday electricity market
Equilibrium price in intraday electricity market Open
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously up…
View article: Nonzero-sum stochastic impulse games with an application in competitive retail energy markets
Nonzero-sum stochastic impulse games with an application in competitive retail energy markets Open
We study a nonzero-sum stochastic differential game with both players adopting impulse controls, on a finite time horizon. The objective of each player is to maximize her total expected discounted profits. The resolution methodology relies…
View article: Equilibrium price in intraday electricity markets
Equilibrium price in intraday electricity markets Open
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously up…
View article: A McKean-Vlasov game of commodity production, consumption and trading
A McKean-Vlasov game of commodity production, consumption and trading Open
We propose a model where a producer and a consumer can affect the price dynamics of some commodity controlling drift and volatility of, respectively, the production rate and the consumption rate. We assume that the producer has a short pos…
View article: Optimal dynamic regulation of carbon emissions market: A variational\n approach
Optimal dynamic regulation of carbon emissions market: A variational\n approach Open
We consider the problem of reducing the carbon emissions of a set of firms\nover a finite horizon. A regulator dynamically allocates emission allowances to\neach firm. Firms face idiosyncratic as well as common economic shocks on\nemission…