A level-set approach to the control of state-constrained McKean-Vlasov equations: application to renewable energy storage and portfolio selection
Work
Year: 2022
Type: article
Abstract: We consider the control of McKean-Vlasov dynamics (or mean-field control) with probabilistic state constraints. We rely on a level-set approach which provides a representation of the constrained probl... more
Institutions Laboratoire de Probabilités et Modèles Aléatoires, Centre National de la Recherche Scientifique, Laboratoire de Probabilités, Statistique et Modélisation, Sorbonne Université, Université Paris Cité +4 more
Cites: 40
Cited by: 4
Related to: 10
FWCI: 0.769
Citation percentile (by year/subfield): 45.88
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Affordable and clean energy
Open Access status: gold