Team, Visitors, External Collaborators
Overall Objectives
Research Program
Application Domains
Highlights of the Year
New Software and Platforms
New Results
Bilateral Contracts and Grants with Industry
Partnerships and Cooperations
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Section: New Results

Mean-field BSDEs and systemic risk measures

Agn├Ęs Sulem with her PhD student Rui Chen, Andreea Minca and Roxana Dumitrescu have studied mean-field BSDEs with a generalized mean-field operator that can capture the average intensity in an inhomogeneous random graph. Comparison and strict comparison results have been obtained. Based on these, they interpret the BSDE solution as a global dynamic risk measure that can account for the intensity of system interactions and therefore incorporate systemic risk. Using Fenchel-Legendre transforms, they establish a dual representation for the expectation of the risk measure, and exhibit its dependence on the mean-field operator [31].