Noise induced Stability of a Mean-Field model of Systemic Risk with uncertain robustness
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arXiv
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| Format: | Preprint |
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2025
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| _version_ | 1866912688587669504 |
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| author | Alecio, Alexander |
| author_facet | Alecio, Alexander |
| contents | We consider a model for systemic risk comprising of a system of diffusion processes, interacting through their empirical mean. Each process is subject to a confining double-well potential with some uncertainty in the coefficients, corresponding to fluctuations in height of the potential barrier seperating the two wells. This is equivalent to studying a single McKean-Vlasov SDE with explicit dependence on its moments and, novelly, independently varying additive and multiplicative noise. Such non-linear SDEs are known to possess two phases: stable (ordered) and unstable (disordered). When the potential is purely bistable, the phase changes from stable to unstable when noise intensity is increased past a critical threshold. With the recent advances, it will be shown that the behaviour here is far richer: indeed, depending on the interpretation of the stochastic integral, the system exhibits phase changes that cannot occur in any regime where there is no uncertainty in the potential. Strikingly, this allows for the phenomenon of noise induced stability; situations where more noise can reduce the risk of system failure. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_03358 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Noise induced Stability of a Mean-Field model of Systemic Risk with uncertain robustness Alecio, Alexander Probability Risk Management 60H30, 60J60, 82C26, 91B26, 91B70 We consider a model for systemic risk comprising of a system of diffusion processes, interacting through their empirical mean. Each process is subject to a confining double-well potential with some uncertainty in the coefficients, corresponding to fluctuations in height of the potential barrier seperating the two wells. This is equivalent to studying a single McKean-Vlasov SDE with explicit dependence on its moments and, novelly, independently varying additive and multiplicative noise. Such non-linear SDEs are known to possess two phases: stable (ordered) and unstable (disordered). When the potential is purely bistable, the phase changes from stable to unstable when noise intensity is increased past a critical threshold. With the recent advances, it will be shown that the behaviour here is far richer: indeed, depending on the interpretation of the stochastic integral, the system exhibits phase changes that cannot occur in any regime where there is no uncertainty in the potential. Strikingly, this allows for the phenomenon of noise induced stability; situations where more noise can reduce the risk of system failure. |
| title | Noise induced Stability of a Mean-Field model of Systemic Risk with uncertain robustness |
| topic | Probability Risk Management 60H30, 60J60, 82C26, 91B26, 91B70 |
| url | https://arxiv.org/abs/2511.03358 |