Deregulated electricity market, a stochastic variational approach

Highlights: • We propose an electricity market model in a continuum state of nature and multiple trading dates. • Agents consume, produce, and sign contracts. • There is uncertainty on the state which will realize at each stage t. • Uncertainty on future possible stages leads to consider a filtered probability space. This paper focuses on the study of an electricity market model, which evolves in T+1 stages, so that, at each stage, a continuum state of nature is possible. The decision-making framework of large consumers is considered: agents consume, they have the opportunity to produce, and the capability of signing contracts. Uncertainty on future possible stages leads to the problem being located in a filtered probability space. The aim is to reformulate the problem as a stochastic quasi-variational inequality, in order to obtain an existence result of equilibrium solutions.