Related papers: A Bivariate Compound Dynamic Contagion Process for…
Univariate marked Hawkes processes are used to model a range of real-world phenomena including earthquake aftershock sequences, contagious disease spread, content diffusion on social media platforms, and order book dynamics. This paper…
Predictive contagion models are ubiquitous in epidemiology, social sciences, engineering, and management. This paper formulates a prescriptive contagion analytics model where a decision-maker allocates shared resources across multiple…
In this paper, we introduce a family of processes with values on the nonnegative integers that describes the dynamics of populations where individuals are allowed to have different types of interactions. The types of interactions that we…
Given a collection of entities (or nodes) in a network and our intermittent observations of activities from each entity, an important problem is to learn the hidden edges depicting directional relationships among these entities. Here, we…
Multi-agent systems can be successfully described by kinetic models, which allow one to explore the large scale aggregate trends resulting from elementary microscopic interactions. The latter may be formalised as collision-like rules, in…
Trading activities in financial systems create various channels through which systemic risk can propagate. An important contagion channel is financial fire sales, where a bank failure causes asset prices to fall due to asset liquidation,…
This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This process can be used to describe the aggregate (discounted)…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
The goal of this work is to study an infectious disease spreading in a medium size population occupying a confined environment. For this purpose, we consider a kinetic theory approach to model crowd dynamics in bounded domains and couple it…
We study the diffusion of influence in random multiplex networks where links can be of $r$ different types, and for a given content (e.g., rumor, product, political view), each link type is associated with a content dependent parameter…
Among the statistical tools for online information diffusion modeling, both epidemic models and Hawkes point processes are popular choices. The former originate from epidemiology, and consider information as a viral contagion which spreads…
Modeling event dynamics is central to many disciplines. Patterns in observed event arrival times are commonly modeled using point processes. Such event arrival data often exhibits self-exciting, heterogeneous and sporadic trends, which is…
Typically, contagion strength is modeled by a transmission rate $\lambda$, whereby all nodes in a network are treated uniformly in a mean-field approximation. However, local agents react differently to the same contagion based on their…
This paper studies the application of the blended dynamics approach towards distributed optimization problem where the global cost function is given by a sum of local cost functions. The benefits include (i) individual cost function need…
Risk aggregation is a popular method used to estimate the sum of a collection of financial assets or events, where each asset or event is modelled as a random variable. Applications, in the financial services industry, include insurance,…
Mathematical models of infectious disease transmission typically neglect within-host dynamics. Yet within-host dynamics - including pathogen replication, host immune responses, and interactions with microbiota - are crucial not only for…
Many epidemic processes in networks spread by stochastic contacts among their connected vertices. There are two limiting cases widely analyzed in the physics literature, the so-called contact process (CP) where the contagion is expanded at…
It is very challenging to predict the cost of a cyber incident owing to the complex nature of cyber risk. However, it is inevitable for insurance companies who offer cyber insurance policies. The time to identifying an incident and the time…
We consider estimation of the cumulative incidence function (CIF) in the competing risks Cox model. We study three methods. Methods 1 and 2 are existing methods while Method 3 is a newly-proposed method. Method 3 is constructed so that the…
The assessment of cyber risk plays a crucial role for cybersecurity management, and has become a compulsory task for certain types of companies and organizations. This makes the demand for reliable cyber risk assessment tools continuously…