A large deviation principal (LDP) with explicit rate function is proved for the parametric estimation of the Ornstein-Uhlenbeck process. We establish a LPD for the quadratic variation of the diffusion process and for the score function by applying the parameter-dependant change of measure method.

We study price formation in intraday electricity markets in the presence of intermittent renewable generation. We consider the setting where a major producer may interact strategically with a large number of small producers. Using stochastic control theory, we identify the optimal strategies of...