相关论文: Contagion in an interacting economy

We investigate structural properties of large, sparse random graphs through the lens of "sampling convergence" (Borgs et. al. (2017)). Sampling convergence generalizes left convergence to sparse graphs, and describes the limit in terms of a…

The "Money Exchange Model" is a type of agent-based simulation model used to study how wealth distribution and inequality evolve through monetary exchanges between individuals. The primary focus of this model is to identify the limiting…

This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…

We consider systems of mean-field interacting diffusions, where the pairwise interaction structure is described by a sparse (and potentially inhomogeneous) random graph. Examples include the stochastic Kuramoto model with pairwise…

Burning and cooling are diffusion processes on graphs in which burned (or cooled) vertices spread to their neighbors with a new source picked at discrete time steps. In burning, the one tries to burn the graph as fast as possible, while in…

Elek and Lippner (2010) showed that the convergence of a sequence of bounded-degree graphs implies the existence of a limit for the proportion of vertices covered by a maximum matching. We provide a characterization of the limiting…

We model the default contagion process in a large heterogeneous financial network under the interventions of a regulator (a central bank) with only partial information which is a more realistic setting than most current literature. We…

The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are…

We study the activation process in undirected graphs known as bootstrap percolation: a vertex is active either if it belongs to a set of initially activated vertices or if at some point it had at least r active neighbors, for a threshold r…

Recently, contagion-based (disease, information, etc.) spreading on social networks has been extensively studied. In this paper, other than traditional full interaction, we propose a partial interaction based spreading model, considering…

This paper deals with the statistical signal pro- cessing over graphs for tracking infection diffusion in social networks. Infection (or Information) diffusion is modeled using the Susceptible-Infected-Susceptible (SIS) model. Mean field…

Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…

We propose a new model that describes the dynamics of epidemic spreading on connected graphs. Our model consists in a PDE-ODE system where at each vertex of the graph we have a standard SIR model and connexions between vertices are given by…

Global transport and communication networks enable information, ideas and infectious diseases now to spread at speeds far beyond what has historically been possible. To effectively monitor, design, or intervene in such epidemic-like…

In this work, we present a numerical method based on a sparse grid approximation to compute the loss distribution of the balance sheet of a financial or an insurance company. We first describe, in a stylised way, the assets and liabilities…

We introduce a mathematical model that combines the concepts of complex contagion with payoff-biased imitation, to describe how social behaviors spread through a population. Traditional models of social learning by imitation are based on…

This mini-project models propagation of shocks, in time point, through links in connected banks. In particular, financial network of 100 banks out of which 15 are shocked to default (that is, 85.00% of the banks are solvent) is modelled…

Competing and Complementary risk (CCR) problems are often modelled using a class of distributions of the maximum, or minimum, of a random number of i.i.d. random variables; we call this class the CCR class of distributions. While the CCR…

We introduce and study a model stemming from game theory for the spread of an epidemic throughout a given population. Each agent is allowed to choose an action whose value dictates to what extent they limit their social interactions, if at…

Warning Propagation is a combinatorial message passing algorithm that unifies and generalises a wide variety of recursive combinatorial procedures. Special cases include the Unit Clause Propagation and Pure Literal algorithms for…