Particle systems with singular interaction through hitting times: application in systemic risk modeling

DOI10.1214/18-AAP1403zbMath1417.35204arXiv1705.00691OpenAlexW2963967209WikidataQ128821907 ScholiaQ128821907MaRDI QIDQ670735

Sergey Nadtochiy, Mykhaylo Shkolnikov

Publication date: 20 March 2019

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.00691

zbMATH Keywords

interacting particle systemssystemic risksingular interactionmean-field modelsregularity estimatesself-excitationbanking systemsblow-ups in parabolic partial differential equationsdefault cascadeslarge system limitsloss of continuitynoncore exposuresnonlinear Cauchy-Dirichlet problemssystemic crises

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Interacting particle systems in time-dependent statistical mechanics (82C22) Initial-boundary value problems for second-order parabolic equations (35K20) Financial applications of other theories (91G80) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Blow-up in context of PDEs (35B44)

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