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Teoriya Veroyatnostei i ee Primeneniya, 2017, Volume 62, Issue 2, Pages 311–344
DOI: https://doi.org/10.4213/tvp5110 (Mi tvp5110) 		 
This article is cited in 6 scientific papers (total 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
Full-text PDF (563 kB) Citations (6)
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DOI: https://doi.org/10.4213/tvp5110
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.
Funding agency Grant number
Russian Science Foundation 15-11-30042
This research was funded by a grant of the Russian Science Foundation (project 15-11-30042).
Received: 25.10.2016
Revised: 13.02.2017
Accepted: 23.02.2017
English version:
Theory of Probability and its Applications, 2018, Volume 62, Issue 2, Pages 252–277
DOI: https://doi.org/10.1137/S0040585X97T988599
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: Yu. M. Kabanov, R. Mokbel, Kh. El Bitar, “Clearing in financial nteworks”, Teor. Veroyatnost. i Primenen., 62:2 (2017), 311–344; Theory Probab. Appl., 62:2 (2018), 252–277
Citation in format AMSBIB
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  • https://www.mathnet.ru/eng/tvp/v62/i2/p311
    • This publication is cited in the following 6 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
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