9 citations · 18 across the 11 of their papers we have counts for
3 papers · 1 filter
A risk analysis for a system stabilized by a central agent
Josselin Garnier, George Papanicolaou, Tzu-Wei Yang
We formulate and analyze a multi-agent model for the evolution of individual and systemic risk in which the local agents interact with each other through a central agent who, in tu…
A reduced-form model for level-1 limit order books
Tzu-Wei Yang, Lingjiong Zhu
One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the bigge…
Consensus Convergence with Stochastic Effects
Josselin Garnier, George Papanicolaou, Tzu-Wei Yang
We consider a stochastic, continuous state and time opinion model where each agent's opinion locally interacts with other agents' opinions in the system, and there is also exogenou…