Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258086 
Year of Publication: 
2020
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 8 [Issue:] 4 [Article No.:] 133 [Publisher:] MDPI [Place:] Basel [Year:] 2020 [Pages:] 1-21
Publisher: 
MDPI, Basel
Abstract: 
We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of agents with market impact and exhibit the Nash equilibrium in a closed form in the asymptotic framework of mean field games with a major player.
Subjects: 
intraday electricity market
renewable energy
mean field games
major player
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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