Related papers: Dynamic Default Contagion in Heterogeneous Interba…
A thermodynamic approach to rapid phase transformations within a diffuse interface in a binary system is developed. Assuming an extended set of independent thermodynamic variables formed by the union of the classic set of slow variables and…
We report about the main dynamical features of a model of leaky-integrate-and fire excitatory neurons with short term plasticity defined on random massive networks. We investigate the dynamics by a Heterogeneous Mean-Field formulation of…
Motivated by bacterial chemotaxis and multi-species ecological interactions in heterogeneous environments, we study a general one-dimensional reaction-cross-diffusion system in the presence of spatial heterogeneity in both transport and…
Financial networks are characterized by complex structures of mutual obligations. These obligations are fulfilled entirely or in part (when defaults occur) via a mechanism called clearing, which determines a set of payments that settle the…
The recent financial crisis of 2008 and the 2011 indebtedness of Greece highlight the importance of understanding the structure of the global financial network. In this paper we set out to analyze and characterize this network, as captured…
We present a simple continuous-time model of clearing in financial networks. Financial firms are represented as "tanks" filled with fluid (money), flowing in and out. Once "pipes" connecting "tanks" are open, the system reaches the clearing…
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of $N$ banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the…
Social contagion is a ubiquitous and fundamental process that drives individual and social changes. Although social contagion arises as a result of cognitive processes and biases, the integration of cognitive mechanisms with the theory of…
Dynamic contingency screening is a challenging task in dynamic security assessment, when traditional numerical approaches are computationally intensive and often not able to repeatedly solve full AC power flow for all possible contingencies…
A new class of probabilistic models for cascading failure propagation in interconnected systems is proposed. The models take into account important characteristics of real systems that are not considered in existing generic approaches.…
This paper studies large deviations of a ``fully coupled" finite state mean-field interacting particle system in a fast varying environment. The empirical measure of the particles evolves in the slow time scale and the random environment…
The propagation of chaos property for a system of interacting particles, describing the spatial evolution of a network of interacting filaments is studied. The creation of a network of mycelium is analyzed as representative case, and the…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
We study a family of mean field games with a state variable evolving as a multivariate jump diffusion process. The jump component is driven by a Poisson process with a time-dependent intensity function. All coefficients, i.e. drift,…
The Bivariate Dynamic Contagion Processes (BDCP) are a broad class of bivariate point processes characterized by the intensities as a general class of piecewise deterministic Markov processes. The BDCP describes a rich dynamic structure…
I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide…
We consider multiple diseases spreading in a static Configuration Model network. We make standard assumptions that infection transmits from neighbor to neighbor at a disease-specific rate and infected individuals recover at a…
In this paper, we study the non-linear diffusion equation associated with a particle system where the common drift depends on the rate of absorption of particles at a boundary. We provide an interpretation as a structural credit risk model…
We investigate the computational aspects of the basket CDS pricing with counterparty risk under a credit contagion model of multinames. This model enables us to capture the systematic volatility increases in the market triggered by a…
We introduce a mean-field framework for the study of systems of interacting particles sharing a conserved quantity. The work generalises and unites the existing fields of asset-exchange models, often applied to socio-economic systems, and…