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math.OC2022
An Axiomatic Viewpoint on the Rogers--Veraart and Suzuki--Elsinger Models of Systemic Risk
Yuri Kabanov, Arthur Sidorenko
We study a model of clearing in an interbank network with crossholdings and default charges. Following the Eisenberg--Noe approach, we define the model via a set of natural financi…
math.OC2015
Consumption-Investment Problem with Transaction Costs for Lévy-Driven Price Processes
Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette
We consider an optimal control problem for a linear stochastic integro-diffe\-rential equation with conic constraints on the phase variable and the control of singular-regular type…