Mean-field moral hazard for optimal energy demand response management

@article{Elie2019MeanfieldMH,
  title={Mean-field moral hazard for optimal energy demand response management},
  author={R. Elie and E. Hubert and Thibaut Mastrolia and D. Possamai},
  journal={arXiv: Probability},
  year={2019}
}
  • R. Elie, E. Hubert, +1 author D. Possamai
  • Published 2019
  • Mathematics, Economics
  • arXiv: Probability
  • 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. We formulate the problem as a Principal-Agent problem with moral hazard in which the Principal - she - is an electricity producer who observes continuously the consumption of a continuum of risk-averse consumers, and designs contracts in order to reduce her production costs. More precisely, the producer… CONTINUE READING
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