Large Deviations for a Mean Field Model of Systemic Risk
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Publication:2873122
DOI10.1137/12087387XzbMath1283.60044arXiv1204.3536OpenAlexW2017903822MaRDI QIDQ2873122
Tzu-Wei Yang, Josselin Garnier, George S. Papanicolaou
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.3536
Interacting random processes; statistical mechanics type models; percolation theory (60K35) Large deviations (60F10) Dynamic and nonequilibrium phase transitions (general) in statistical mechanics (82C26)
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