Optimization in curbing risk contagion among financial institutes

DOI10.1016/j.automatica.2018.04.036zbMath1416.91420OpenAlexW2802214419MaRDI QIDQ1797111

Xiang-Shen Ye, Ruo-Bing Xue, Jian-Jun Gao, Cao, Xiren

Publication date: 17 October 2018

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2018.04.036

zbMATH Keywords

sensitivityperturbation analysisMarkov decision problemspolicy iterationfinancial networkdiscrete event systemsrisk contagiondirect-comparison based optimization

Mathematics Subject Classification ID

Discrete event control/observation systems (93C65) Markov and semi-Markov decision processes (90C40) Actuarial science and mathematical finance (91G99)

Cites Work

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• SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY
• Optimization of Average Rewards of Time Nonhomogeneous Markov Chains
• Systemic Risk in Financial Systems
• An Optimization View of Financial Systemic Risk Modeling: Network Effect and Market Liquidity Effect

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