2 citations · 2 across the 4 of their papers we have counts for
4 papers
Contagious McKean--Vlasov problems with common noise: from smooth to singular feedback through hitting times
Ben Hambly, Aldaïr Petronilia, Christoph Reisinger +2
We consider a family of McKean--Vlasov equations arising as the large particle limit of a system of interacting particles on the positive half-line with common noise and feedback.…
Implicit and fully discrete approximation of the supercooled Stefan problem in the presence of blow-ups
Christa Cuchiero, Christoph Reisinger, Stefan Rigger
We consider two implicit approximation schemes of the one-dimensional supercooled Stefan problem and prove their convergence, even in the presence of finite time blow-ups. All proo…
Optimal bailout strategies resulting from the drift controlled supercooled Stefan problem
Christa Cuchiero, Christoph Reisinger, Stefan Rigger
We consider the problem faced by a central bank which bails out distressed financial institutions that pose systemic risk to the banking sector. In a structural default model with…
Propagation of minimality in the supercooled Stefan problem
Christa Cuchiero, Stefan Rigger, Sara Svaluto-Ferro
Supercooled Stefan problems describe the evolution of the boundary between the solid and liquid phases of a substance, where the liquid is assumed to be cooled below its freezing p…