Event Date Details:
Refreshments served at 3:15 p.m
- South Hall 5607F
Dylan Possamaï — Université Paris Dauphine
Title: Volatility demand management for electricity: a moral hazard approach
Abstract: In this work, we propose a model of electricity demand management through a principal-agent problem, allowing to obtain almost explicit optimal compensations for the consumer. We then illustrate our findings through several numerical experiments, putting the emphasis on the practical implementation of the contracts. This is a joint work with René Aïd and Nizar Touzi.