Real options models characterized by the presence of ambiguity have been recently proposed. But based on recursive multiple-priors approaches to solve ambiguity, these seminal models reduce individual preferences to extreme pessimism by considering only the worst case scenario. In contrast, by...

We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic volatility and unknown stock appreciation rate. The volatility parameter is driven by an external economic factor modeled as a diffusion process of Ornstein-Uhlenbeck type with unknown...

This paper studies the link between the design of international environmental agreements and the incentives for the private sector to invest in cleaner technologies. More specifically, it compares the performance, in the Paretoo sense, of two types of agreement : an agreement on a uniform...

According to the seminal Cost Recovery Theorem the revenues from congestion tolls pay for the capacity costs of an optimal-sized facility if capacity is perfectly divisible, and if user costs and capacity costs have constant scale economies. This paper extends the Theorem to long-run uncertainty...

n this paper we study the problem of long-term capacity adequacy in electricity markets. We implement a dynamic model in which firms compete for investment and electricity production under imperfect Cournot competition. The main aim of this work is to compare three investment incentive...

This paper addresses the problem of transmission loss allocation in a power system where the generators, the demands and the system operator are independent. We suppose that the transmission losses are exclusively charged to the generators, which are willing to adopt a perfectly competitive...

This article analyzes the eff ect of risk and risk aversion on the long-term equilibrium technology mix in an electricity market. It develops a model where fi rms can invest in baseload plants with a fi xed variable cost and peak plants with a random variable cost, and demand for electricity...

In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal multiple switching problems in infinite horizon. We provide the rate of convergence of the method in terms of the time...

The aim of this work is to demonstrate analytically under what conditions activating elasticity of demand of consumers could be beneficial for the social welfare. It has added to the literature on analyzing the use of price signals in eliciting demand response by an analytical approach. We...

In electricity markets where competition has been established for a long time, a nuclear operator familiar with the operation of such markets could be interested in the optimal long-term management of a flexible nuclear set (like the French) in a competitive market. To obtain a long vision of...