| Abstract: |
| Here, we introduce a price-formation model for electricity markets where a large number of small players can store and trade electricity. Our model is a constrained mean-field game (MFG) where the price is a Lagrange multiplier for the supply vs. demand balance condition. Under mild conditions, we prove the uniqueness of the solution. Next, we examine some linear-quadratic models that have explicit solutions. Finally, we develop numerical methods and illustrate the behavior of the system numerically. |
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