8 citations · 53 across the 24 of their papers we have counts for
4 papers · 1 filter
Strong Solutions of Mean-Field Stochastic Differential Equations with irregular drift
Martin Bauer, Thilo Meyer-Brandis, Frank Proske
We investigate existence and uniqueness of strong solutions of mean-field stochastic differential equations with irregular drift coefficients. Our direct construction of strong sol…
Financial asset bubbles in banking networks
Francesca Biagini, Andrea Mazzon, Thilo Meyer-Brandis
We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the c…
On Fairness of Systemic Risk Measures
Francesca Biagini, Jean-Pierre Fouque, Marco Frittelli +1
In our previous paper, "A Unified Approach to Systemic Risk Measures via Acceptance Set" (\textit{Mathematical Finance, 2018}), we have introduced a general class of systemic risk…
Financial Contagion in a Generalized Stochastic Block Model
Nils Detering, Thilo Meyer-Brandis, Konstantinos Panagiotou +1
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to unders…