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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 2017 Volume 62, Issue 2, Pages 311–344 (Mi tvp5110)

This article is cited in 6 papers

Clearing in financial nteworks

Yu. M. Kabanova, R. Mokbelb, Kh. El Bitarb

a Steklov Mathematical Institute of Russian Academy of Sciences, Moscow
b Laboratoire de Mathématiques, Université de Franche-Comté, Besançon

Abstract: This paper is a survey of recent results on the clearing in financial systems. Mathematically, the principal questions of the reviewed studies are on the existence and uniqueness of solutions of specific nonlinear equations $x=f(x)$, where $f:{R}^d\to{R}^d$ is a mapping defined via stochastic and substochastic matrices. Some algorithms of calculations of fixed points are discussed.

Keywords: systemic risk, financial networks, clearing, Knaster–Tarski theorem.

Received: 25.10.2016
Revised: 13.02.2017
Accepted: 23.02.2017

DOI: 10.4213/tvp5110


 English version:
Theory of Probability and its Applications, 2018, 62:2, 252–277

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