Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times

• Main Authors: Hambly, Ben, Petronilia, Aldaïr, Reisinger, Christoph, Rigger, Stefan, Søjmark, Andreas
• Format: Journal Article
• Language: English
• Published: 20.07.2023
• Subjects: Mathematics - Probability

We consider a family of McKean-Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback. Such systems are motivated by structural models for systemic risk with contagion. This contagious interaction is such tha...