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

arXiv2310.15854MaRDI QIDQ6456540FDOQ6456540

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)

This page was built for publication: Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6456540)