Systemic risk and network intervention
Optimization and Control
2019-12-19 v1 Discrete Mathematics
Abstract
We consider a novel adversarial shock/protection problem for a class of network equilibria models emerging from a variety of different fields as continuous network games, production networks, opinion dynamic models. The problem is casted into a min-max problem and analytically solved for two particular cases of aggregate performances: the mean square of the equilibrium or of its arithmetic mean. The main result is on the shape of the solutions, typically exhibiting a waterfilling type structure with the optimal protection concentrated in a proper subset of the nodes, depending significantly on the aggregate performance considered. The relation of the optimal protection with the Bonacich centrality is also considered.
Keywords
Cite
@article{arxiv.1912.08631,
title = {Systemic risk and network intervention},
author = {Luca Damonte and Giacomo Como and Fabio Fagnani},
journal= {arXiv preprint arXiv:1912.08631},
year = {2019}
}