Contagious McKean-Vlasov systems with positive feedback

Thesis

We introduce a family of contagious McKean-Vlasov systems with positive feedback which are shown to arise as the mean field (or large population) limits of an associated family of finite particle systems. In the finite systems, each particle performs some variant of Brownian motion until it hits a lower barrier|at which point it is absorbed and the surviving particles are shifted down in the direction of the barrier. The latter may lead to further absorptions and hence a positive feedback ...

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Authors: Sojmark, A

• Alternative title: Macro-modelling of systemic risk in large financial systems
• Type of award: DPhil
• Level of award: Doctoral
• Awarding institution: University of Oxford
• Language: English
• Keywords: interacting particle system; systemic risk; mean-field; McKean-Vlasov; contagion
• Subjects: Stochastic analysis; Finance--Mathematical models