This paper considers the nonlinear theory of G-martingales as introduced by Peng in [16, 17]. A martingale representation theorem for this theory is proved by using the techniques and the results established in [20] for the second order stochastic target problems and the second order backward...

This paper analyzes the interactions between competitive (wholesale) spot, retail, and forward markets and vertical integration in electricity markets. We develop an equilibrium model with producers, retailers, and traders that enables us to quantify the impact of forward markets and vertical...