2 papers
math.OC2026
Optimal Loss Allocation in a Mean-Field Model of Systemic Risk
Yucheng Guo, Qinxin Yan
We study a systemic-risk control problem in which a central planner allocates losses generated by bank defaults across the surviving institutions. Banks are modeled through their d…
math.PR2025
Particle Systems with Local Interactions via Hitting Times and Cascades on Graphs
Yucheng Guo, Qinxin Yan
We introduce a family of particle systems on sparse graphs where local interactions occur via hitting times, providing a dynamic and tractable model for default cascades in large s…