Cover Image

Particle Systems with Local Interactions via Hitting Times and Cascades on Graphs

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Guo, Yucheng, Yan, Qinxin
Format:	Preprint
Published:	2025
Subjects:	Probability Mathematical Finance Risk Management
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

The randomly distorted Choquet integrals with respect to a G-randomly distorted capacity and risk measures
by: Aldalbahi, Ohood, et al.
Published: (2025)

Lambda Expected Shortfall
by: Bellini, Fabio, et al.
Published: (2025)

Cash-subadditive risk measures without quasi-convexity
by: Han, Xia, et al.
Published: (2021)

Ranking Metrics: Extending Acceptability and Performance Indexes
by: Hitaj, Asmerilda, et al.
Published: (2026)

Robust quasi-convex risk measures and applications
by: Centrone, Francesca, et al.
Published: (2026)

Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
by: Feinstein, Zachary, et al.
Published: (2022)

Robust Hedging of path-dependent options using a min-max algorithm
by: Banerjee, Purba, et al.
Published: (2025)

Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims
by: Jang, Jiwook, et al.
Published: (2025)

Generalized Orlicz premia
by: Aygün, Mücahit, et al.
Published: (2025)

Kullback-Leibler Barycentre of Stochastic Processes
by: Jaimungal, Sebastian, et al.
Published: (2024)

Convolution Bounds on Quantile Aggregation
by: Blanchet, Jose, et al.
Published: (2020)

Optimal nonparametric estimation of the expected shortfall risk
by: Bartl, Daniel, et al.
Published: (2024)

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
by: Zhang, Panpan, et al.
Published: (2023)

Three-level qualitative classification of financial risks under varying conditions through first passage times
by: Bouthelier-Madre, Carlos, et al.
Published: (2025)

LQG Risk-Sensitive Single-Agent and Major-Minor Mean-Field Game Systems: A Variational Framework
by: Liu, Hanchao, et al.
Published: (2023)

Risk-Sensitive Mean Field Games with Common Noise: A Theoretical Study with Applications to Interbank Markets
by: Ren, Xin Yue, et al.
Published: (2024)

Global Balance and Systemic Risk in Financial Correlation Networks
by: Bartesaghi, Paolo, et al.
Published: (2024)

De Finetti's problem with fixed transaction costs and regime switching
by: Wang, Wenyuan, et al.
Published: (2025)

Jointly Exchangeable Collective Risk Models: Interaction, Structure, and Limit Theorems
by: Gaigall, Daniel, et al.
Published: (2025)

Modeling dependency between operational risk losses and macroeconomic variables using Hidden Markov Models
by: Selvaratnam, Nikeethan, et al.
Published: (2026)

The Recalibration Conundrum: Hedging Valuation Adjustment for Callable Claims
by: Bénézet, Cyril, et al.
Published: (2023)

Provisions and Economic Capital for Credit Losses
by: Bastide, Dorinel, et al.
Published: (2024)

PELVE from a regulatory perspective
by: Laudagé, Christian, et al.
Published: (2025)

When risk defies order: On the limits of fractional stochastic dominance
by: Laudagé, Christian, et al.
Published: (2025)

Pool Value Replication (CPM) and Impermanent Loss Hedging
by: Gonzalez, Agustin Muñoz, et al.
Published: (2025)

Constructing elicitable risk measures
by: Ince, Akif, et al.
Published: (2025)

Optimal Reinsurance under Endogenous Default and Background Risk
by: Liang, Zongxia, et al.
Published: (2025)

A stochastic SIR model for cyber contagion: application to granular growth of firms and to insurance portfolio
by: Hillairet, Caroline, et al.
Published: (2026)

The role of debt valuation factors in systemic risk assessment
by: Fortuna, Kamil, et al.
Published: (2024)

A Comparative Study of Factor Models for Different Periods of the Electricity Spot Price Market
by: Laudagé, Christian, et al.
Published: (2023)

Monotonic mean-deviation risk measures
by: Han, Xia, et al.
Published: (2023)

Dynamic Clearing and Contagion in Financial Networks
by: Banerjee, Tathagata, et al.
Published: (2018)

Upper Comonotonicity and Risk Aggregation under Dependence Uncertainty
by: De Vecchi, Corrado, et al.
Published: (2024)

Uncertainty in the financial market and application to forecastabnormal financial fluctuations
by: Peng, Shige, et al.
Published: (2024)

Set risk measures
by: Righi, Marcelo, et al.
Published: (2024)

Risk, utility and sensitivity to large losses
by: Herdegen, Martin, et al.
Published: (2024)

Vault as a credit instrument
by: Zbandut, Anastasiia, et al.
Published: (2026)

Wishart conditional tail risk measures: An analytic approach
by: Da Fonseca, Jose, et al.
Published: (2026)

A note on robust convex risk measures
by: Righi, Marcelo, et al.
Published: (2024)

The not-so-hidden risks of 'hidden-to-maturity' accounting: on depositor runs and bank resilience
by: Feinstein, Zachary, et al.
Published: (2024)