[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.
