Related papers: Mean-Field Backward-Forward SDE with Jumps and Sto…
Storage is expected to be a critical source of firming in low-carbon grids. A common concern raised from ex-post assessments is that storage resources can fail to respond to strong price signals during times of scarcity. While commonly…
This work deals with backward stochastic differential equation (BSDE) with random marked jumps, and their applications to default risk. We show that these BSDEs are linked with Brownian BSDEs through the decomposition of processes with…
We study optimal stochastic control problems of general coupled systems of forward-backward stochastic differential equations with jumps. By means of the It\^o-Ventzell formula the system is transformed to a controlled backward stochastic…
In this paper we prove a necessary condition of the optimal control problem for a class of general mean-field forward-backward stochastic systems with jumps in the case where the diffusion coefficients depend on control, the control set…
This paper study a type of fully coupled mean-field forward-backward stochastic differential equations with jumps under the monotonicity condition, including the existence and the uniqueness of the solution of our equation as well as the…
New methods that exploit sparse structures arising in smart grid networks are proposed for the state estimation problem when data injection attacks are present. First, construction strategies for unobservable sparse data injection attacks…
Outsourcing data storage to the remote cloud can be an economical solution to enhance data management in the smart grid ecosystem. To protect the privacy of data, the utility company may choose to encrypt the data before uploading them to…
Inverter-dominated microgrids are quickly becoming a key building block of future power systems. They rely on centralized controllers that can provide reliability and resiliency in extreme events. Nonetheless, communication failures due to…
Phase balancing is essential to safe power system operation. We consider a substation connected to multiple phases, each with single-phase loads, generation, and energy storage. A representative of the substation operates the system and…
We study in this paper the wellposedness of path-dependent multidimensional forward-backward stochastic differential equations (FBSDE). By path-dependent we mean that the coefficients of the forward-backward SDE at time t can depend on the…
Smart devices, storage and other distributed technologies have the potential to greatly improve the utilisation of network infrastructure and renewable generation. Decentralised control of these technologies overcomes many scalability and…
We pose an engineering challenge of controlling an Ensemble of Energy Devices via coordinated, implementation-light and randomized on/off switching as a problem in Non-Equilibrium Statistical Mechanics. We show that Mean Field Control} with…
The aim of this work is to propose an extension of the deep solver by Han, Jentzen, E (2018) to the case of forward backward stochastic differential equations (FBSDEs) with jumps. As in the aforementioned solver, starting from a discretized…
We propose a new deep learning algorithm for solving high-dimensional parabolic integro-differential equations (PIDEs) and forward-backward stochastic differential equations with jumps (FBSDEJs). This novel algorithm can be viewed as an…
In this paper, we study an optimal control problem of a mean-field forward-backward stochastic system with random jumps in progressive structure, where both regular and singular controls are considered in our formula. In virtue of the…
Energy forecasting has a vital role to play in smart grid (SG) systems involving various applications such as demand-side management, load shedding, and optimum dispatch. Managing efficient forecasting while ensuring the least possible…
The smart electricity grid enables a two-way flow of power and data between suppliers and consumers in order to facilitate the power flow optimization in terms of economic efficiency, reliability and sustainability. This infrastructure…
We propose a novel problem formulation of continuous-time information propagation on heterogenous networks based on jump stochastic differential equations (SDE). The structure of the network and activation rates between nodes are naturally…
There has been widespread interest in the use of grid-level storage to handle the variability from increasing penetrations of wind and solar energy. This problem setting requires optimizing energy storage and release decisions for anywhere…
In this paper, we solve an optimal control problem governed by a system of mean-field stochastic differential equations with multiple defaults (MMFSDEs). We transform the global optimal control problem into several optimal control…