In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity...

In this paper, we analyze Nash equilibria between electricity producers selling their production on an electricity market and buying \co2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost functions of the electricity...

We construct a confined Langevin type process aimed to satisfy a mean no-permeability condition at the boundary. This Langevin process lies in the class of conditional McKean Lagrangian stochastic models studied by Bossy, Jabir and Talay (2010) [5]. The confined process considered here is a...

We consider the one-dimensional nonlinear P.D.E. in the weak sense: When the initial condition is a probability on R, the solution Ut is the distribution of the random variable Xt where (Xt) is a nonlinear stochastic process in the sense of McKean.

[eng] Insurance-Company Risk Connected with Life-Insurance Contracts . by Christophe Berthelot, Mireille Bossy and Nathalie Pistre . Life-insurance contracts in francs are in fact capitalisation contracts which provide a return with the dual advantage of offering a guaranteed rate and benefiting...

In this note, we present an existence result of a Nash equilibrium between electricity producers selling their production on an electricity market and buying CO2 emission allowances on an auction carbon market. The producers' strategies integrate the coupling of the two markets via the cost...