On a class of linear quadratic Gaussian quantilized mean field games

An energy provider faced with energy generation risks and a large homogeneous pool of customers designs its energy price as a time-varying function of a risk-related quantile of the total energy demand, which generalizes pricing through the mean of the total energy demand. In the infinite population limit, we model the pricing problem with a class of linear quadratic Gaussian quantilized mean field games. For these quantilized mean field games, we show existence and uniqueness of an equilibrium which reveals the price trajectory, as well as an approximate Nash property when the quantilized mean field game's feedback control functions are applied to the large but finite game and the rate of convergence of the Nash deviation to zero as a function of the population size and the quantile is provided. Finally, the use of this class of quantilized mean field games is illustrated in the context of equivalent thermal parameter models for households heater and an energy provider using solar generation. (c) 2024 Published by Elsevier Ltd.