Browsing Mathematics and Statistics - Faculty Research by Subject "stochastic control"

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Modeling Financial System with Interbank Flows, Borrowing, and Investing

Maheshwari,Aditya; Sarantsev, Andrey (2018)

In our model, private actors with interbank cash flows similar to, but more general than that by Carmona et al. (2013) borrow from the non-banking financial sector at a certain interest rate, controlled by the central bank, ...