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arXiv · 1503.03006

Some new results on Dufffie-type OTC markets

Alain Bélanger·Gaston Giroux·Ndouné Ndouné
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Abstract

The extended Wild sums considered in this article generalize the classi- cal Wild sums of statistical physics. We first show how to obtain explicit solutions for the evolution equation of a large system where the interactions are given by a single, but general, interacting kernel which involves m components, for a fixed m >= 2. We then show how to retain the explicit formulas for the case of OTC market models where the dynamics is more directly described by two (or more) kernels.

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Alain Bélanger, Gaston Giroux, Ndouné Ndouné. 2015-03-10. Some new results on Dufffie-type OTC markets. https://arxiv.org/abs/1503.03006

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