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arXiv · 1906.08525

Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids

Anis Matoussi·Arij Manai·Rym Salhi
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Abstract

In this paper, we prove the existence and uniqueness of the solution of a coupled Mean-Field Forward-Backward SDE system with Jumps. Then, we give an application in the field of storage problem in smart grids, studied in [4] in the case where the production of electricity is not predictable due, for example, to the changes in meteorological forecasts.

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Anis Matoussi, Arij Manai, Rym Salhi. 2019-06-20. Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids. https://arxiv.org/abs/1906.08525

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