Related papers: Dynamic Default Contagion in Heterogeneous Interba…
The mean-field limit of a Markovian model describing the interaction of several classes of permanent connections in a network is analyzed. Each of the connections has a self-adaptive behavior in that its transmission rate along its route…
Dynamical reaction-diffusion processes and meta-population models are standard modeling approaches for a wide variety of phenomena in which local quantities - such as density, potential and particles - diffuse and interact according to the…
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy method. The maximum entropy method severely underestimates the risk of interbank contagion by assuming a fully connected network, while…
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with…
This paper is concerned with the problem of budget control in a large particle system modeled by stochastic differential equations involving hitting times, which arises from considerations of systemic risk in a regional financial network.…
Infrastructure deterioration poses significant challenges for asset management, yet existing approaches rely on population-averaged models that overlook equipment-specific heterogeneity. We present a novel framework that combines Bayesian…
Understanding the spread of diseases through complex networks is of great interest where realistic, heterogeneous contact patterns play a crucial role in the spread. Most works have focused on mean-field behavior -- quantifying how contact…
We study a variant of the dispersion process on the complete graph introduced in the recent work [17] under the mean-field framework. We adopt a kinetic perspective (as opposed to the probabilistic approach taken in [17] and many other…
We consider a mean field game describing the limit of a stochastic differential game of $N$-players whose state dynamics are subject to idiosyncratic and common noise and that can be absorbed when they hit a prescribed region of the state…
In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…
Current understanding holds that financial contagion is driven mainly by the system-wide interconnectedness of institutions. A distinction has been made between systematic and idiosyncratic channels of contagion, with shocks transmitted…
This paper studies a systemic risk control problem by the central bank, which dynamically plans monetary supply to stabilize the interbank system with borrowing and lending activities. Facing both heterogeneity among banks and the common…
Fluctuating environments pose tremendous challenges to bacterial populations. It is observed in numerous bacterial species that individual cells can stochastically switch among multiple phenotypes for the population to survive in rapidly…
We study here the random diffusion model. This is a continuum model for a conserved scalar density field $\phi$ driven by diffusive dynamics. The interesting feature of the dynamics is that the {\it bare} diffusion coefficient $D$ is…
We develop a dynamic model of cascading failures in a financial network whereby cross-holdings are viewed as feedback, external assets investments as inputs and failure penalties as static nonlinearities. We provide sufficient milder and…
The theory of multilayer networks is in its early stages, and its development provides vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have been introduced within the last three years to…
We study a stochastic SIS (susceptible-infected-susceptible) epidemic dynamics on network, under the effect of a Markovian regime-switching. We first prove the existence of a unique global positive solution, and find a positive invariant…
Managing risk at the aggregate level is crucial for banks and financial institutions as required by the Basel III framework. In this paper, we introduce discrete time Bayesian state space models with Poisson measurements to model aggregate…
A network epidemics model based on the classical Polya urn scheme is investigated. Temporal contagion processes are generated on the network nodes using a modified Polya sampling scheme that accounts for spatial infection among neighbouring…
We analytically derive mean-field models for all-to-all coupled networks of heterogeneous, adapting, two-dimensional integrate and fire neurons. The class of models we consider includes the Izhikevich, adaptive exponential, and quartic…