Extended Mckean-Vlasov optimal stochastic control applied to smart grid management,
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Cites work
- A General Stochastic Maximum Principle for Optimal Control Problems
- A weak martingale approach to linear-quadratic Mckean-Vlasov stochastic control problems
- An extended mean field game for storage in smart grids
- Applied functional analysis. Functional analysis, Sobolev spaces and elliptic differential equations
- Backward Stochastic Differential Equations in Finance
- Bellman equation and viscosity solutions for mean-field stochastic control problem
- CEMRACS 2017: numerical probabilistic approach to MFG
- Diffusion-type models with given marginal distribution and autocorrelation function
- Discrete time McKean-Vlasov control problem: a dynamic programming approach
- Extended mean field control problems: stochastic maximum principle and transport perspective
- Forward-backward stochastic differential equations and controlled McKean-Vlasov dynamics
- Forward-backward stochastic differential equations and quasilinear parabolic PDEs
- Generalized quantiles as risk measures
- scientific article; zbMATH DE number 193190 (Why is no real title available?)
- Linear forward-backward stochastic differential equations with random coefficients
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Probabilistic theory of mean field games with applications I. Mean field FBSDEs, control, and games
- Weak existence and uniqueness for forward-backward SDEs
Cited in
(12)- A Mckean-Vlasov approach to distributed electricity generation development
- An extended mean field game for storage in smart grids
- Regression Monte Carlo for microgrid management
- Newton method for stochastic control problems
- Extended mean field control problems: stochastic maximum principle and transport perspective
- Mean field approximation of an optimal control problem for the continuity equation arising in smart charging
- A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
- Laplace principle for large population games with control interaction
- An optimal control problem for the continuity equation arising in smart charging
- A fast iterative PDE-based algorithm for feedback controls of nonsmooth mean-field control problems
- Federated stochastic control of numerous heterogeneous energy storage systems
- An extension of metric temporal planning with application to AC voltage control
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