20 citations · 68 across the 18 of their papers we have counts for
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q-fin.MF2017
Systemic risk in a mean-field model of interbank lending with self-exciting shocks
Anastasia Borovykh, Andrea Pascucci, Stefano la Rovere
In this paper we consider a mean-field model of interacting diffusions for the monetary reserves in which the reserves are subjected to a self- and cross-exciting shock. This is mo…
math.AP2017
Gaussian lower bounds for non-homogeneous Kolmogorov equations with measurable coefficients
Alberto Lanconelli, Andrea Pascucci, Sergio Polidoro
We prove Gaussian upper and lower bounds for the fundamental solutions of a class of degenerate parabolic equations satisfying a weak Hormander condition. The bound is independent…