Equilibrium price in intraday electricity markets - Aid, René; Cosso, Andrea; Pham, Huyên (Mathematical finance, 2022)
Keywords: Consumption; coupled forward–backward SDE with jumps; Customers; Economic forecasting; Electricity; Energy industry; Equilibrium; Equilibrium methods; equilibrium model; Heterogeneity; intraday electricity markets; Market prices; Markov chains; martingale optimality principle; Martingales; Mathematical models; Sales; Samuelson's effect; Trading