Journal articleAuthors : Olivier, Féron (2020)
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 agents with market impact and exhibit the Nash equilibrium in a closed form in the
asymptotic framework of mean field games with a major p... 
