Contagious McKean–Vlasov systems with heterogeneous impact and exposure
提出了一类异质性传染性McKean-Vlasov系统，源自银行间市场偿付能力传染的资产负债表模型，研究了有限粒子系统的极限点、全局唯一性及跳跃机制。
Abstract We introduce a particular heterogeneous formulation of a class of contagious McKean–Vlasov systems, whose inherent heterogeneity comes from asymmetric interactions with a natural and highly tractable structure. It is shown that this formulation characterises the limit points of a finite particle system, deriving from a balance-sheet-based model of solvency contagion in interbank markets, where banks have heterogeneous exposure to and impact on the distress within the system. We also provide a simple result on global uniqueness for the full problem with common noise under a smallness condition on the strength of interactions, and we show that in the problem without common noise, there is a unique differentiable solution up to an explosion time. Finally, we discuss an intuitive and consistent way of specifying how the system should jump to resolve an instability when the contagious pressures become too large. This is known to happen even in the homogeneous version of the problem, where jumps are specified by a ‘physical’ notion of solution, but no such notion currently exists for a heterogeneous formulation of the system.