Dynamic contagion in a banking system with births and defaults
DOI10.1007/s10436-019-00351-2zbMath1431.91421arXiv1807.09897OpenAlexW2969806341WikidataQ127350246 ScholiaQ127350246MaRDI QIDQ2292038
Michael Ludkovski, Tomoyuki Ichiba, Andrey Sarantsev
Publication date: 31 January 2020
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.09897
Lyapunov functionpropagation of chaosmean field limitdefault contagioninteracting birth-and-death processMcKean-Vlasov jump-diffusion
Applications of branching processes (60J85) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Jump processes on general state spaces (60J76) Financial networks (including contagion, systemic risk, regulation) (91G45)
Related Items (2)
Cites Work
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