Some new results on Dufffie-type OTC markets

Abstract

The extended Wild sums considered in this article generalize the classi- cal Wild sums of statistical physics. We first show how to obtain explicit solutions for the evolution equation of a large system where the interactions are given by a single, but general, interacting kernel which involves m components, for a fixed m >= 2. We then show how to retain the explicit formulas for the case of OTC market models where the dynamics is more directly described by two (or more) kernels.

arXiv comment14 pages, 3 figures. arXiv admin note: substantial text overlap with arXiv:1202.5251