Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity

MaRDI QIDQ6456540zbMATH OpenFDO

Authors Ben M. Hambly, Philipp Jettkant

Publication date 24 October 2023

Has companion code repository https://github.com/philkant/systemic-risk-model

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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