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Thesis

Contagious McKean-Vlasov systems with positive feedback

Alternative title:
Macro-modelling of systemic risk in large financial systems
Abstract:

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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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Oxford college:
St Hilda's College
Role:
Author
ORCID:
0000-0001-7488-0221

Contributors

Division:
MPLS
Department:
Mathematical Institute
Role:
Supervisor
ORCID:
0000-0003-0086-0695
More from this funder
Programme:
EPSRC Centre for Doctoral Training in Partial Differential Equations: Analysis and Applications
Grant:
EP/L015811/1
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford

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