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Capacity expansion games with application to competition in power generation investments
Multi angle
Authors : Aïd, René (Author of the conference)
CIRM (Publisher )
91A80 - Applications of game theory
93E20 - Optimal stochastic control
91B38 - Production theory, theory of the firm
Additional resources :
http://smai.emath.fr/cemracs/cemracs17/Slides/aid.pdf
CIRM (Publisher )
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Abstract :
We consider competitive capacity investment for a duopoly of two distinct producers. The producers are exposed to stochastically fluctuating costs and interact through aggregate supply. Capacity expansion is irreversible and modeled in terms of timing strategies characterized through threshold rules. Because the impact of changing costs on the producers is asymmetric, we are led to a nonzero-sum timing game describing the transitions among the discrete investment stages. Working in a continuous-time diffusion framework, we characterize and analyze the resulting Nash equilibrium and game values. Our analysis quantifies the dynamic competition effects and yields insight into dynamic preemption and over-investment in a general asymmetric setting. A case-study considering the impact of fluctuating emission costs on power producers investing in nuclear and coal-fired plants is also presented.
MSC Codes : 91A80 - Applications of game theory
93E20 - Optimal stochastic control
91B38 - Production theory, theory of the firm
Additional resources :
http://smai.emath.fr/cemracs/cemracs17/Slides/aid.pdf
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Information on the Video
Film maker : Hennenfent, GuillaumeLanguage : English Available date : 26/07/17 Conference Date : 17/07/17 Subseries : Research School arXiv category : Quantitative Finance ; Optimization and Control Mathematical Area(s) : Mathematics in Science & Technology ; Control Theory & Optimization Format : MP4 (.mp4) - HD Video Time : 01:05:15 Targeted Audience : Researchers ; Graduate Students Download : https://videos.cirm-math.fr/2017-07-17_Aid.mp4 
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Information on the Event
Event Title : CEMRACS - Summer school: Numerical methods for stochastic models: control, uncertainty quantification, mean-field / CEMRACS - École d'été : Méthodes numériques pour équations stochastiques : contrôle, incertitude, champ moyenEvent Organizers : Bouchard, Bruno ; Chassagneux, Jean-François ; Delarue, François ; Gobet, Emmanuel ; Lelong, Jérôme Dates : 17/07/17 - 25/08/17 Event Year : 2017 Event URL : http://conferences.cirm-math.fr/1556.html
Citation Data
DOI : 10.24350/CIRM.V.19198403Cite this video as: Aïd, René (2017). Capacity expansion games with application to competition in power generation investments. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.19198403 URI : http://dx.doi.org/10.24350/CIRM.V.19198403 |
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