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The entry and exit game in the electricity markets: A mean-field game approach

hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorAïd, René
hal.structure.identifierDepartment of Mathematics [London]
dc.contributor.authorDumitrescu, Roxana
hal.structure.identifierEcole Nationale de la Statistique et de l'Analyse Economique [ENSAE]
dc.contributor.authorTankov, Peter
dc.date.accessioned2021-05-03T13:13:52Z
dc.date.available2021-05-03T13:13:52Z
dc.date.issued2021
dc.identifier.issn2164-6066
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/21664
dc.language.isoenen
dc.subjectMean-field gamesen
dc.subjectoptimal stoppingen
dc.subjectrenewable energyen
dc.subjectelectricity marketsen
dc.subject.ddc330.1en
dc.subject.classificationjelC.C7.C73en
dc.subject.classificationjelQ.Q4.Q43en
dc.titleThe entry and exit game in the electricity markets: A mean-field game approachen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe develop a model for the industry dynamics in the electricity market, based on mean-field games of optimal stopping. In our model, there are two types of agents: the renewable producers and the conventional producers. The renewable producers choose the optimal moment to build new renewable plants, and the conventional producers choose the optimal moment to exit the market. The agents interact through the market price, determined by matching the aggregate supply of the two types of producers with an exogenous demand function. Using a relaxed formulation of optimal stopping mean-field games, we prove the existence of a Nash equilibrium and the uniqueness of the equilibrium price process. An empirical example, inspired by the UK electricity market is presented. The example shows that while renewable subsidies clearly lead to higher renewable penetration, this may entail a cost to the consumer in terms of higher peakload prices. In order to avoid rising prices, the renewable subsidies must be combined with mechanisms ensuring that sufficient conventional capacity remains in place to meet the energy demand during peak periods.en
dc.relation.isversionofjnlnameJournal of Dynamics and Games
dc.relation.isversionofjnldate2021-03
dc.relation.isversionofjnlpages28en
dc.relation.isversionofdoi10.3934/jdg.2021012en
dc.relation.isversionofjnlpublisherAIMS - American Institute of Mathematical Sciencesen
dc.subject.ddclabelThéorie économiqueen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2021-05-03T12:22:02Z
hal.identifierhal-03215763*
hal.version1*
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


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