Control of McKean--Vlasov SDEs with Contagion Through Killing at a State-Dependent Intensity
B Hambly, P Jettkant - arXiv preprint arXiv:2310.15854, 2023 - arxiv.org
We consider a novel McKean--Vlasov control problem with contagion through killing of
particles and common noise. Each particle is killed at an exponential rate according to an …
particles and common noise. Each particle is killed at an exponential rate according to an …
The supercooled Stefan problem with transport noise: weak solutions and blow-up
We derive two weak formulations for the supercooled Stefan problem with transport noise on
a half-line: one captures a continuously evolving system, while the other resolves blow-ups …
a half-line: one captures a continuously evolving system, while the other resolves blow-ups …
[PDF][PDF] OMI Research Newsletter–August 2023
M Hoglund, E FERRUCCI, C HERNÁNDEZ - oxford-man.ox.ac.uk
News. The Conference on Learning in Games and Algorithmic Collusion Workshop will take
place on 12 and 13 October 2023 at the University of Oxford. The conference aims at …
place on 12 and 13 October 2023 at the University of Oxford. The conference aims at …
[PDF][PDF] Emergence of shocks in large pool credit contagion models and resulting optimal bailout strategies
C Reisinger - bayes.city.ac.uk
Delarue, Nadtochiy, Shkolnikov (2019) a.[Existence, Cuchiero, Rigger, & Svaluto-Ferro
(2020); see also Ledger and Sojmark (2019)]: If E [X0−]<∞, there is a unique minimal …
(2020); see also Ledger and Sojmark (2019)]: If E [X0−]<∞, there is a unique minimal …