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Large Deviations for a Mean Field Model of Systemic Risk.

SIAM JOURNAL ON FINANCIAL MATHEMATICS, no. 1 (2013): 151-184

Cited by: 55|Views8
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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 ...More

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