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An Extended Mean Field Game for Storage in Smart Grids
12 references·10 citing·25 second hop
An Extended Mean Field Game for Storage in Smart Grids (2020)An Extended Mean Field Game for Storage i…Mean field game of controls and an application to trade crowding (2017)Mean field game of controls a…Mean field games with common noise (2016)Mean field games with common …Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics (2015)Forward–backward stochastic d…Probabilistic Analysis of Mean-Field Games (2013)Probabilistic Analysis of Mea…Mean Field Games and Mean Field Type Control Theory (2013)Mean Field Games and Mean Fie…Control of McKean–Vlasov dynamics versus mean field games (2012)Control of McKean–Vlasov dyna…Mean field games (2007)Mean field gamesLarge-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria (2007)Large-Population Cost-Coupled…Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Large population stochastic d…Jeux à champ moyen. II – Horizon fini et contrôle optimal (2006)Jeux à champ moyen. II – Hori…Jeux à champ moyen. I – Le cas stationnaire (2006)Jeux à champ moyen. I – Le ca…Solution of forward-backward stochastic differential equations (1995)Solution of forward-backward …Mean Field Models to Regulate Carbon Emissions in Electricity Production (2022)Mean Field Models to Regulate…Extended mean field control problem: a propagation of chaos result (2022)Extended mean field control p…Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls (2022)Convergence of Large Populati…A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition (2022)A Mean Field Game Approach to…Price Formation and Optimal Trading in Intraday Electricity Markets (2021)Price Formation and Optimal T…On classical solutions to the mean field game system of controls (2021)On classical solutions to the…Applications of Mean Field Games in financial engineering and economic theory (2021)Applications of Mean Field Ga…The entry and exit game in the electricity markets: a mean-field game approach (2020)The entry and exit game in th…A Mean-Field Game Approach to Price Formation (2020)A Mean-Field Game Approach to…Schauder Estimates for a Class of Potential Mean Field Games of Controls (2019)Schauder Estimates for a Clas…Adapted solution of a backward stochastic differential equation (1990)A probabilistic weak formulation of mean field games and applications (2015)The Master Equation and the Convergence Problem in Mean Field Games (2019)Stochastic controls : Hamiltonian systems and HJB equations (1999)Mean Field Games Models—A Brief Survey (2013)Mean Field Games and systemic risk (2015)Dynamic noncooperative game theory (1995)The Theory of Learning in Games (1998)Dynamic Noncooperative Game Theory (1982)Games with Incomplete Information Played by “Bayesian” Players, I–III: Part I. The Basic Model (2004)A Maximum Principle for SDEs of Mean-Field Type (2010)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Markets with a Continuum of Traders (1964)Mean Field Games and Applications (2010)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Continuous Auctions and Insider Trading (1985)Income and Wealth Distribution in Macroeconomics: A Continuous-Time Approach (2021)Controlled Markov Processes and Viscosity Solutions (2005)Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Forward-backward stochastic differential equations and quasilinear parabolic PDEs (1999)On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case (2002)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Linear-Quadratic Mean Field Games (2015)
this work references cited by second hop

References

  • 2007Mean field games2,638 cited
  • 2006Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle1,574 cited
  • 2007Large-Population Cost-Coupled LQG Problems With Nonuniform Agents: Individual-Mass Behavior and Decentralized $\varepsilon$-Nash Equilibria1,092 cited
  • 2006Jeux à champ moyen. I – Le cas stationnaire965 cited
  • 2006Jeux à champ moyen. II – Horizon fini et contrôle optimal810 cited
  • 2013Mean Field Games and Mean Field Type Control Theory761 cited
  • 2013Probabilistic Analysis of Mean-Field Games435 cited
  • 1995Solution of forward-backward stochastic differential equations402 cited
  • 2015Forward–backward stochastic differential equations and controlled McKean–Vlasov dynamics244 cited
  • 2012Control of McKean–Vlasov dynamics versus mean field games238 cited
  • 2017Mean field game of controls and an application to trade crowding212 cited
  • 2016Mean field games with common noise204 cited

Cited by

  • 2020A Mean-Field Game Approach to Price Formation63 cited
  • 2022Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls50 cited
  • 2021

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Applications of Mean Field Games in financial engineering and economic theory
37 cited
  • 2021On classical solutions to the mean field game system of controls35 cited
  • 2022Mean Field Models to Regulate Carbon Emissions in Electricity Production35 cited
  • 2019Schauder Estimates for a Class of Potential Mean Field Games of Controls33 cited
  • 2020The entry and exit game in the electricity markets: a mean-field game approach32 cited
  • 2022Extended mean field control problem: a propagation of chaos result31 cited
  • 2021Price Formation and Optimal Trading in Intraday Electricity Markets30 cited
  • 2022A Mean Field Game Approach to Equilibrium Pricing with Market Clearing Condition26 cited