Related papers: Random Fixed Points, Limits and Systemic risk
We consider a large random network, in which the performance of a node depends upon that of its neighbours and some external random influence factors. This results in random vector valued fixed-point (FP) equations in large dimensional…
The fixed-point analysis refers to the study of fixed-points that arise in the context of complex systems with many interacting entities. In this expository paper, we describe four levels of fixed-points in mean-field interacting particle…
Finite dimensional (FD) models, i.e., deterministic functions of time/space and finite sets of random variables, are constructed for target vector-valued random processes/fields. They are required to have two properties. First, standard…
We consider a financial network represented at any time instance by a random liability graph which evolves over time. The agents connect through credit instruments borrowed from each other or through direct lending, and these create the…
Maximum likelihood estimations for the parameters of extreme value distributions are discussed in this paper using fixed point iteration. The commonly used numerical approach for addressing this problem is the Newton-Raphson approach which…
The study addresses the problem of precision in floating-point (FP) computations. A method for estimating the errors which affect intermediate and final results is proposed and a summary of many software simulations is discussed. The basic…
We introduce probabilistic frames to study finite frames whose elements are chosen at random. While finite tight frames generalize orthonormal bases by allowing redundancy, independent, uniformly distributed points on the sphere…
This article is concerned with the existence and uniqueness of solutions to some fractional order boundary value problems. Our results are based on some fixed point theorems. For the applicability of our results, we provide an example.
We study the convergence of random function iterations for finding an invariant measure of the corresponding Markov operator. We call the problem of finding such an invariant measure the stochastic fixed point problem. This generalizes…
We consider a randomised implementation of the finite element method (FEM) for elliptic partial differential equations on high-dimensional models. This is motivated by applications where model predictions are essential for real-time process…
A phase transition in high-dimensional random geometry is analyzed as it arises in a variety of problems. A prominent example is the feasibility of a minimax problem that represents the extremal case of a class of financial risk measures,…
In this work we give precise asymptotic expressions on the probability of the existence of fixed-size components at the threshold of connectivity for random geometric graphs.
This paper analyzes the random fluctuations obtained by a heterogeneous multi-scale first-order finite element method applied to solve elliptic equations with a random potential. We show that the random fluctuations of such solutions are…
The convex feasibility problem (CFP) is to find a feasible point in the intersection of finitely many convex and closed sets. If the intersection is empty then the CFP is inconsistent and a feasible point does not exist. However,…
Results regarding probable bifurcations from fixed points are presented in the context of general dynamical systems (real, random matrices), time-delay dynamical systems (companion matrices), and a set of mappings known for their properties…
There are no computationally feasible algorithms that provide solutions to the finite horizon Risk-sensitive Constrained Markov Decision Process (Risk-CMDP) problem, even for problems with moderate horizon. With an aim to design the same,…
We construct a finite element like scheme for fully non-linear integro-partial differential equations arising in optimal control of jump-processes. Special cases of these equations include optimal portfolio and option pricing equations in…
We investigate systems of interacting stochastic differential equations with two kinds of heterogeneity: one originating from different weights of the linkages, and one concerning their asymptotic relevance when the system becomes large. To…
In this research, we introduce a robust metric to identify Systemically Important Financial Institution (SIFI) in a financial network by taking into account both common idiosyncratic shocks and contagion through counterparty exposures. We…
Given any finite or countable collection of real numbers $T_j,j\in J$, we find all solutions $F$ to the stochastic fixed point equation \[W\stackrel{\mathrm {d}}{=}\inf_{j\in J}T_jW_j,\] where $W$ and the $W_j,j\in J$, are independent…