We rigorously prove a central limit theorem for neural network models with a single hidden
layer. The central limit theorem is proven in the asymptotic regime of simultaneously (A) …

We discuss the construction and approximation of solutions to a nonlinear McKean–Vlasov
equation driven by a singular self-excitatory interaction of the mean-field type. Such an …

We introduce a simple class of mean-field games with absorbing boundary over a finite time
horizon. In the corresponding N-player games, the evolution of players' states is described …

Financial institutions, government-sponsored enterprises, and asset-backed security
investors are often exposed to delinquency and prepayment risk from large numbers of …

In this paper, we consider a fully-coupled slow–fast system of McKean–Vlasov stochastic
differential equations with full dependence on the slow and fast component and on the law …

We consider a collection of fully coupled weakly interacting diffusion processes moving in a
two-scale environment. We study the moderate deviations principle of the empirical …

We treat the parameter estimation problem for mean‐field models of large interacting
financial systems such as the banking system and a pool of assets held by an institution or …

We develop a dynamic model of interbank borrowing and lending activities in which banks
are organized into clusters, and adjust their monetary reserve levels to meet prescribed …

This paper examines whether parent-subsidiary dispersion affects the cost of debt. Prior
literature is silent on the relationship between firms' locations and debt cost in the unique …

We consider a novel McKean--Vlasov control problem with contagion through killing of
particles and common noise. Each particle is killed at an exponential rate according to an …