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[02555] A Mean Field Game Model for Renewable Investment under Uncertainty

  • Session Time & Room : 3D (Aug.23, 15:30-17:10) @D514
  • Type : Contributed Talk
  • Abstract : We consider a stylized model for investment into renewable power plants under long-term uncertainty. Risk-averse agents face heterogeneous weather conditions and a common noise including demand trends. The objective of each agent is to maximize profit by controlling investment at discrete time steps. We prove that the N-player game admits a Nash equilibrium that converges to the unique solution of a mean field game. The numerical experiments emphasize the impact of risk aversion and heterogeneity.
  • Classification : 91A16, 49N80, 91A80, 91A50
  • Author(s) :
    • Célia Escribe (Ecole Polytechnique)
    • Josselin Garnier (Ecole Polytechnique)
    • Emmanuel Gobet (Ecole Polytechnique)