Related papers: A default system with overspilling contagion
We consider the qualitative behavior of a mathematical model for transmission dynamics with two nonlinear stages of contagion. The proposed model is inspired by phenomena occurring in epidemiology (spread of infectious diseases) or social…
We study individual-based dynamics in finite populations, subject to randomly switching environmental conditions. These are inspired by models in which genes transition between on and off states, regulating underlying protein dynamics.…
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. We give the…
We investigate the correspondence between classical noise and quantum environments. Although it has been known that the classical noise can be mapped to the quantum environments only for pure dephasing and infinite-temperature dissipation…
Current epidemics in the biological and social domains are challenging the standard assumptions of mathematical contagion models. Chief among them are the complex patterns of transmission caused by heterogeneous group sizes and infection…
Contagion, a concept from epidemiology, has long been used to characterize social influence on people's behavior and affective (emotional) states. While it has revealed many useful insights, it is not clear whether the contagion metaphor is…
In spite of the growing theoretical literature on cascades of failures in interbank lending networks, empirical results seem to suggest that networks of direct exposures are not the major channel of financial contagion. In this paper we…
Relapse, the recurrence of a disorder following a symptomatic remission, is a frequent outcome in substance abuse disorders. Some of our prior results suggested that relapse, in the context of abusive drinking, is likely an "unbeatable"…
Stochastic thermodynamics and the associated fluctuation relations provide the means to extend the fundamental laws of thermodynamics to small scales and systems out of equilibrium. The fluctuating thermodynamic variables are usually…
Recent studies have investigated various dynamic processes characterizing collective behaviors in real-world systems. However, these dynamics have been studied individually in specific contexts. In this article, we present a holistic…
I show the equivalence between a model of financial contagion and the threshold model of global cascades proposed by Watts (2002). The model financial network comprises banks that hold risky external assets as well as interbank assets. It…
We develop a general dynamical model as a framework for possible causal interpretation. We first state a criterion of local independence in terms of measurability of processes involved in the Doob-Meyer decomposition of stochastic…
The adoption of individual behavioural patterns is largely determined by stimuli arriving from peers via social interactions or from external sources. Based on these influences, individuals are commonly assumed to follow simple or complex…
In this paper, we take up the analysis of a principal/agent model with moral hazard introduced in [17], with optimal contracting between competitive investors and an impatient bank monitoring a pool of long-term loans subject to Markovian…
Complex contagions describe diffusion of behaviors in a social network in settings where spreading requires the influence by two or more neighbors. In a $k$-complex contagion, a cluster of nodes are initially infected, and additional nodes…
Contagion, broadly construed, refers to anything that can spread infectiously from peer to peer. Examples include communicable diseases, rumors, misinformation, ideas, innovations, bank failures, and electrical blackouts. Sometimes, as in…
We study corruption as a generalized epidemic process on the graph of social relationships. The main difference to classical epidemic processes is the strong nonlinear dependence of the transmission probability on the local density of…
Binary-state models are those in which the constituent elements can only appear in two possible configurations. These models are fundamental in the mathematical treatment of a number of phenomena such as spin interactions in magnetism,…
Desertification in dryland ecosystems is considered to be a major environmental threat that may lead to devastating consequences. The concern increases when the system admits two alternative steady states and the transition is abrupt and…