An SPDE model for systemic risk with endogenous contagion (Q1999595)

In the present paper, the authors model a large financial system by an interacting particle system, which is presented in Section 1.4. In order to make the framework as flexible as possible, they consider a more general version of this model, namely an interacting particle system of the form (2.1). Under some structural conditions (see Assumption 2.1), they show that the mean field limit is given by the nonlinear SPDE (2.3) on the half-line with a Dirichlet boundary condition; see Theorem 2.4. Furthermore, the authors derive a uniqueness result for the limit SPDE (see Theorem 2.6), which in particular implies uniqueness in law, and they show that the density of the limit SPDE is the conditional law of a conditional McKean-Vlasov diffusion equation; see Theorem 2.7. Some qualitative insights for systemic risk are discussed as well.