Deregulated electricity market, a stochastic variational approach

This paper focuses on the study of an electricity market model, which evolves in T+1 stages, so that, at each stage, a continuum state of nature is possible. The decision-making framework of large consumers is considered: agents consume, they have the opportunity to produce, and the capability of si...

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Bibliographic Details
Published in:Energy economics 2021-11, Vol.103, p.105493, Article 105493
Main Authors: Limosani, Michele, Milasi, Monica, Scopelliti, Domenico
Format: Article
Language:English
Subjects:
Consumers
Contracts
Decision making
Deregulation
Electricity
Electricity market
Energy economics
Filtered probability space
Inequality
Markets
Radner equilibrium
Stochastic quasi-variational inequality
Uncertainty
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Summary:This paper focuses on the study of an electricity market model, which evolves in T+1 stages, so that, at each stage, a continuum state of nature is possible. The decision-making framework of large consumers is considered: agents consume, they have the opportunity to produce, and the capability of signing contracts. Uncertainty on future possible stages leads to the problem being located in a filtered probability space. The aim is to reformulate the problem as a stochastic quasi-variational inequality, in order to obtain an existence result of equilibrium solutions. •We propose an electricity market model in a continuum state of nature and multiple trading dates.•Agents consume, produce, and sign contracts.•There is uncertainty on the state which will realize at each stage t.•Uncertainty on future possible stages leads to consider a filtered probability space.
ISSN:0140-9883
1873-6181
DOI:10.1016/j.eneco.2021.105493