19 citations · 52 across the 21 of their papers we have counts for
Showing 2022Show all
3 papers · 1 filter
q-fin.MF2022
Endogenous distress contagion in a dynamic interbank model: how possible future losses may spell doom today
Zachary Feinstein, Andreas Sojmark
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This…
math.PR2022
An SPDE with Robin-type boundary for a system of elastically killed diffusions on the positive half-line
Ben Hambly, Julian Meier, Andreas Sojmark
We consider a system of particles undergoing correlated diffusion with elastic boundary conditions on the half-line. By taking the large particle limit we establish existence and u…
math.PR2022★ 2 cited
An interacting particle system for the front of an epidemic advancing through a susceptible population
Eliana Fausti, Andreas Sojmark
We introduce an interacting particle system that models the spread of an epidemic in terms of heterogeneous diffusive dynamics, rather than exogenous contact and transmission rates…