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Title: Detecting mean-field in a financial network model Authors:  Tomoyuki Ichiba - University of California Santa Barbara (United States) [presenting]
Abstract: Starting with a finite system of linear stochastic equations for the nodes in a financial network, its limit is studied as the number of nodes goes to infinity. Then, we shall consider the system with Lipschitz continuous coefficients in the limiting system. The limiting system can be similar to the mean-field limit for which each node is attracted by the representative, mean node, but is now described by a system of equations where the coefficients depend on another neighboring node which has the identical law. By comparing it with the mean-field limit, we discuss a detection problem of mean-field component in such financial systems.