Related papers: A default system with overspilling contagion
Non-Markovian dynamics are ubiquitous across physics, biology, and engineering. Yet our understanding of non-Markovian processes significantly lags that of simpler Markovian processes, due largely to a lack of tractable models. In this…
Contagion processes, representing the spread of infectious diseases, information, or social behaviors, are often schematized as taking place on networks, which encode for instance the interactions between individuals. The impact of the…
The spread of infectious diseases, rumors, fashions, innovations are complex contagion processes, embedded both in networked and spatial contexts. Here we investigate the pattern dynamics of a complex contagion, where two agents, say $A$…
A key ingredient in social contagion dynamics is reinforcement, as adopting a certain social behavior requires verification of its credibility and legitimacy. Memory of non-redundant information plays an important role in reinforcement,…
The developing field of stochastic thermodynamics extends concepts of macroscopic thermodynamics such as entropy production and work to the microscopic level of individual trajectories taken by a system through phase space. The scheme…
Empirical evidence reveals that contagion processes often occur with competition of simple and complex contagion, meaning that while some agents follow simple contagion, others follow complex contagion. Simple contagion refers to spreading…
The threshold model is a simple but classic model of contagion spreading in complex social systems. To capture the complex nature of social influencing we investigate numerically and analytically the transition in the behavior of…
We analyze ecological systems that are influenced by random environmental fluctuations. We first provide general conditions which ensure that the species coexist and the system converges to a unique invariant probability measure (stationary…
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a countably infinite set. To characterize…
We analyze the late-time relaxation dynamics for a general contagion model. In this model, nodes are either active or failed. Active nodes can fail either "spontaneously" at any time or "externally" if their neighborhoods are sufficiently…
Population dynamics are often subject to random independent changes in the environment. For the two strategy stochastic replicator dynamic, we assume that stochastic changes in the environment replace the payoffs and variance. This is…
Localized perturbations in a real-world network have the potential to trigger cascade failures at the whole system level, hindering its operations and functions. Standard approaches analytically tackling this problem are mostly based either…
We develop a finite horizon continuous time market model, where risk averse investors maximize utility from terminal wealth by dynamically investing in a risk-free money market account, a stock written on a default-free dividend process,…
Human beings learn causal models and constantly use them to transfer knowledge between similar environments. We use this intuition to design a transfer-learning framework using object-oriented representations to learn the causal…
Threshold-driven models and game theory are two fundamental paradigms for describing human interactions in social systems. However, in mimicking social contagion processes, models that simultaneously incorporate these two mechanisms have…
We study a family of binary state, socially-inspired contagion models which incorporate imitation limited by an aversion to complete conformity. We uncover rich behavior in our models whether operating with either probabilistic or…
We introduce an interacting particle system that models the spread of an epidemic in terms of heterogeneous diffusive dynamics, rather than exogenous contact and transmission rates at the population level as in classical compartmental…
Quantum systems are invariably open, evolving under surrounding influences rather than in isolation. Standard open quantum system methods eliminate all information on the environmental state to yield a tractable description of the system…
Filiz et al. (2008) proposed a model for the pattern of defaults seen among a group of firms at the end of a given time period. The ingredients in the model are a graph, where the vertices correspond to the firms and the edges describe the…
We propose a multivariate framework for modeling dependent default times that extends the classical Cox process by incorporating both common and idiosyncratic shocks. Our construction uses c\`adl\`ag, increasing processes to model…