Large Deviations for a Mean Field Model of Systemic Risk
نویسندگان
چکیده
منابع مشابه
Large Deviations for a Mean Field Model of Systemic Risk
Abstract. We consider a system of diffusion processes that interact through their empirical mean and have a stabilizing force acting on each of them, corresponding to a bistable potential. There are three parameters that characterize the system: the strength of the intrinsic stabilization, the strength of the external random perturbations, and the degree of cooperation or interaction between th...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2013
ISSN: 1945-497X
DOI: 10.1137/12087387x