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

Anis Matoussi (1) , Arij Manai (2) , Rym Salhi

1 LMM - Laboratoire Manceau de Mathématiques
2 UNAM - PRES Université Nantes Angers Le Mans

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.

Domaines: Probabilités [math.PR]; Optimisation et contrôle [math.OC]; Equations aux dérivées partielles [math.AP]

Anis Matoussi, Arij Manai, Rym Salhi. Mean-Field Backward-Forward SDE with Jumps and Storage problem in Smart Grids. 2019. ⟨hal-02160898⟩