An SPDE model for systemic risk with endogenous contagion
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Publication:1999595
DOI10.1007/s00780-019-00396-1zbMath1469.91060arXiv1801.10088OpenAlexW2963856389WikidataQ127775336 ScholiaQ127775336MaRDI QIDQ1999595
Andreas Søjmark, Benjamin M. Hambly
Publication date: 27 June 2019
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.10088
particle systemcontagionsystemic riskcommon noiseconditional McKean-Vlasov problemmean-field type SPDE on half-line
Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Financial networks (including contagion, systemic risk, regulation) (91G45)
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