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UID:356@lincs.fr
DTSTART;TZID=Europe/Paris:20171213T140000
DTEND;TZID=Europe/Paris:20171213T150000
DTSTAMP:20171214T091829Z
URL:https://www.lincs.fr/events/random-fixed-points-limits-and-systemic-ri
 sk/
SUMMARY:Random Fixed Points\, Limits and Systemic risk
DESCRIPTION:Abstract: We consider vector fixed point (FP) equations in
 large\ndimensional spaces involving random variables\, and study
 their\nrealization-wise solutions. We have an underlying directed
 random\ngraph\, that defines the connections between various components of
 the\nFP equations. Existence of an edge between nodes i\,j implies the
 i-th\nFP equation depends on the j-th component. We consider a special
 case\nwhere any component of the FP equation depends upon an
 appropriate\naggregate of that of the random ``neighbor'' components. We
 obtain\nfinite dimensional limit FP equations (in a much smaller
 dimensional\nspace)\, whose solutions approximate the solution of the
 random FP\nequations for almost all realizations\, in the asymptotic limit
 (number\nof components increase). Our techniques are different from
 the\ntraditional mean-field methods\, which deal with stochastic FP
 equations\nin the space of distributions to describe the stationary
 distributions\nof the systems. In contrast our focus is on realization-wise
 FP\nsolutions. We apply the results to study systemic risk in a
 large\nfinancial heterogeneous network with many small institutions and
 one\nbig institution\, and demonstrate some interesting
 phenomenon.\nBiography: Kavitha Veeraruna completed my PhD with Indian
 Institute of\nScience in 2007. I have done two postdocs\, one at TIFR
 Bangalore and\nthen with Prof. Eitan Altman at INRIA. Currently I am
 working as an\nAssistant Professor at IIT Bombay Mumbai.
CATEGORIES:Seminars,Youtube
LOCATION:Doctoral Training Center (EIT Digital)\, 23\, avenue d'Italie\,
 Paris\, 75013\, France
GEO:48.8283983;2.3568972000000485
X-APPLE-STRUCTURED-LOCATION;VALUE=URI;X-ADDRESS=23\, avenue d'Italie\,
 Paris\, 75013\, France;X-APPLE-RADIUS=100;X-TITLE=Doctoral Training Center
 (EIT Digital):geo:48.8283983,2.3568972000000485
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TZID:Europe/Paris
X-LIC-LOCATION:Europe/Paris
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DTSTART:20171029T020000
TZOFFSETFROM:+0200
TZOFFSETTO:+0100
TZNAME:CET
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