Regulation and efficiency in markets with friction

Proceedings of the IEEE Conference on Decision and Control

Volumn , Issue , 2010, Pages 4137-4144

  Kizilkale, Arman C ^a   Mannor, Shie ^b  

^a MCGILL UNIVERSITY   (Canada)

^b TECHNION ISRAEL INSTITUTE OF TECHNOLOGY   (Israel)

Author keywords

[No Author keywords available]

Indexed keywords

COST FUNCTIONS; DIFFERENTIAL EQUATIONS; FRICTION; STOCHASTIC MODELS; STOCHASTIC SYSTEMS;

EXPECTED COSTS; STOCHASTIC DIFFERENTIAL EQUATIONS; SUPPLY PROCESS;

EFFICIENCY;

EID: 79953146257     PISSN: 07431546     EISSN: 25762370     Source Type: Conference Proceeding    
DOI: 10.1109/CDC.2010.5717446     Document Type: Conference Paper

References (26)

1. S. Robinson, "Math model explains high prices in electricity markets," Siam News, pp. 4-9, 2005.
2. F. Wolak, R. Nordhaus, and C. Shapiro, "Preliminary report on the operation of the ancillary services markets of the California independent system operator (ISO)," Discussion paper, Market Surveillance Committee of the California ISO, 1998.
3. P. Navarro and M. Shames, "Aftershocks - and essential lessons - from the California electricity debacle," Electricity Journal, pp. 24-30, 2003.
4. I.-K. Cho and S. P. Meyn, "Efficiency and marginal cost pricing in dynamic competitive markets with friction," Theoretical Economics, vol. 5, no. 2, pp. 215-239, 2010.
5. FERC, "Federal Energy Regulatory Commission: Industries - RTO/ISO," Feb. 2010. [Online]. Available: http://www.ferc.gov/industries/ electric/ indus-act/ rto.asp
6. ISO-NE, "Independent system operators - New England - markets," Feb. 2009. [Online]. Available: http://www.iso-ne.com/ markets/index.html
7. PJM Interconnection, "Pennsylvania - New Jersey - Maryland - locational marginal pricing model information," Feb. 2009. [Online]. Available: http://www.pjm.com/ markets-and-operations/ energy/ lmpmodel-info.aspx
8. W. Hogan, "Contract networks for electric power transmission," Journal of Regulatory Economics, vol. 4, pp. 211-242, 1992.
9. J. M. Griffin and S. L. Puller, Eds., Electricity deregulation: choices and challenges, ser. Bush School Series in the Economics of Public Policy. University of Chicago Press, August 2005.
10. F. Black and M. Scholes, "The pricing of options and corporate liabilities," Journal of Political Economy, vol. 81, no. 3, pp. 637-659, 1973.
11. S. L. Heston, "A closed-form solution for options with stochastic volatility with applications to bond and currency options," The Review of Financial Studies, vol. 6, no. 2, pp. 327-343, 1993.
12. L. Chen, "Stochastic mean and stochastic volatility - a three-factor model of the term structure of interest rates and its application to the pricing of interest rate derivatives," Financial Markets, Institutions, and Instruments, vol. 5, pp. 1-88, 1996.
13. P. Hagan, D.Kumar, A. Lesniewski, and D. Woodward, "Managing smile risk," Wilmott Mag., vol. 1, pp. 84-108, 2002.
14. T. Bollerslev, "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, vol. 31, no. 3, pp. 307-327, 2002.
15. E. Mansur, "Measuring welfare in restructured electricity markets," The Review of Economics and Statistics, vol. 90, no. 2, pp. 369-386, May 2008.
16. A. Garcia and E. Stacchetti, "Investment dynamics in electricity markets," Economic Theory, pp. 1-39, 2009.
17. I. Paschalidis and J. Tsitsiklis, "Congestion-dependent pricing of network services," IEEE/ACM Trans. on Networking, vol. 8, pp. 171-184, 2000.
18. D. Bertsimas and S. D. Boer, "Dynamic pricing and inventory control for multiple products," J. of Revenue and Pricing Management, vol. 3, pp. 303-319, 2005.
19. S. Sethi, H. Yan, J. Yan, and H. Zhang, "An analysis of staged purchases in deregulated time-sequential electricity markets," Journal of Industrial and Management Optimization, vol. 1, pp. 443-463, 2005.
20. O. Wu and H. Chen, "Optimal control and competitive equilibrium of production-inventory systems with application to the petroleum refining industry," in Presented at INFORMS Annual Meeting, San Francisco 2005 and the Applied Probability Conf., Ottawa, 2005.
21. M. Huang, P. E. Caines, and R. P. Malhamé, "Uplink power adjustment in wireless communication systems: A stochastic control analysis," IEEE Trans. on Automatic Control, vol. 49, pp. 1693-1708, October 2004.
22. T. Basar and G. J. Olsder, Dynamic noncooperative game theory. Academic Press, New York, 1995.
23. W. H. Fleming and R. W. Rishel, Deterministic and Stochastic Optimal Control. Springer-Verlag, 1975.
24. B. Anderson and J. B. Moore, Optimal Control. Englewood Cliffs, NJ: Prentice-Hall, 1989.
25. L. Arnold, Stochastic Differential Equations, Theory and Applications. New York: Wiley, 1974.
26. J. Yong and X. Y. Zhou, Stochastic Controls: Hamiltonian Systems and HJB Equations. New York: Springer-Verlag, 1999.