Agent based modeling and applications to large networks (biological, financial, social)

  1. "Fluctuation analysis for particle-based stochastic reaction-diffusion models", (with Max Heldman, Samuel A. Isaacson and Jingwei Ma), Stochastic Processed and their Applications 2023, [ArXiv preprint], to appear.
  2. "Disentangling positive and negative partisanship in affective polarization using a coevolving latent space network with attractors model", (with Xiaojing Zhu, Cantay Caliskan, Dino P. Christenson, Dylan Walker, Eric D. Kolaczyk), 2023, Journal of the Royal Statistical Society: Series A, [ArXiv preprint], [CODE], to appear.
  3. "Large deviations for interacting multiscale particle systems", (with Zachary Bezemek), Stochastic Processed and their Applications , Volume 155, January 2023, Pages 27-108, [ArXiv preprint].
  4. "Mean Field Limits of Particle-Based Stochastic Reaction-Diffusion Models", (with Samuel A. Isaacson and Jingwei Ma), 2022, SIAM Journal on Mathematical Analysis, Vol. 54, No. 1, pp. 453--511, [ArXiv preprint].
  5. "How reaction-diffusion PDEs approximate the large-population limit of stochastic particle models", (with Samuel A. Isaacson and Jingwei Ma), 2021, SIAM Journal on Applied Mathematics, Vol. 81, No. 6, pp. 2622--2657, [ArXiv preprint].
  6. "Network effects and default clustering for large systems", (with Jia Yang), 2020, Journal of Applied Mathematical Finance, Volume 26, Issue 6, pp. 523-582, [ArXiv preprint].
  7. "The effect of heterogeneity on flocking behavior and systemic risk", (with Fei Fang and Yiwei Sun), 2017, Statistics and Risk Modelling, Vol. 34, No. 3--4, pp. 141-155, [ArXiv preprint]
  8. "Fluctuations Analysis for Loss from Default", (with Kay Giesecke and Justin A. Sirignano), 2014, Stochastic Processes and their Applications, Volume 124, Issue 7, pp. 2322-2362, [SSRN],[ArXiv preprint].
  9. "Default Clustering in Large Pools: Large Deviations", (with Richard Sowers), 2015, SIAM Journal on Financial Mathematics , Vol. 6, (2015), pp. 86-116, [SSRN], [ArXiv preprint].
  10. "Large Portfolio Asymptotics for Losses from Default", (with Kay Giesecke, Richard Sowers and Justin A. Sirignano), 2015, Mathematical Finance, Vol. 25, No. 1, (January 2015), pp. 77-114, [SSRN] ,[ArXiv preprint]
  11. "Default Clustering in Large Portfolios: Typical Events", (with Kay Giesecke and Richard Sowers), 2013, Annals of Applied Probability, Volume 23, Number 1, pp. 348-385, [SSRN], [ArXiv preprint].
  12. "Recovery Rates in Investment-Grade Pools of Credit Assets: A Large Deviations Analysis", (with Richard Sowers), 2011, Stochastic Processes and Their Applications, Volume 121, Issue 12, pp. 2861-2898, [SSRN] ,[ArXiv preprint].