Proves existence and uniqueness of solutions to a mean-field FBSDE system with jumps and applies the result to a storage problem in smart grids with unpredictable production.
Fully coupled forward-backward stochastic differential equa- tions and applications to optimal control
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Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids
Proves existence and uniqueness of solutions to a mean-field FBSDE system with jumps and applies the result to a storage problem in smart grids with unpredictable production.