{"id":"https://openalex.org/W2017903822","doi":"https://doi.org/10.1137/12087387x","title":"Large Deviations for a Mean Field Model of Systemic Risk","display_name":"Large Deviations for a Mean Field Model of Systemic Risk","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W2017903822","doi":"https://doi.org/10.1137/12087387x","mag":"2017903822"},"language":"en","primary_location":{"id":"doi:10.1137/12087387x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/12087387x","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1204.3536","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5023971789","display_name":"Josselin Garnier","orcid":"https://orcid.org/0000-0002-3518-4159"},"institutions":[{"id":"https://openalex.org/I204730241","display_name":"Universit\u00e9 Paris Cit\u00e9","ror":"https://ror.org/05f82e368","country_code":"FR","type":"education","lineage":["https://openalex.org/I204730241"]},{"id":"https://openalex.org/I39804081","display_name":"Sorbonne Universit\u00e9","ror":"https://ror.org/02en5vm52","country_code":"FR","type":"education","lineage":["https://openalex.org/I39804081"]},{"id":"https://openalex.org/I4210158291","display_name":"Laboratoire Jacques-Louis Lions","ror":"https://ror.org/04xmteb38","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I1326498283","https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210141950","https://openalex.org/I4210158291"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Josselin Garnier","raw_affiliation_strings":["Sorbonne Universit\u00e9s, UPMC Univ. Paris 06, Laboratoire Jacques-Louis Lions"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Sorbonne Universit\u00e9s, UPMC Univ. Paris 06, Laboratoire Jacques-Louis Lions","institution_ids":["https://openalex.org/I204730241","https://openalex.org/I39804081","https://openalex.org/I4210158291"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5102985833","display_name":"George Papanicolaou","orcid":"https://orcid.org/0000-0003-1507-956X"},"institutions":[{"id":"https://openalex.org/I97018004","display_name":"Stanford University","ror":"https://ror.org/00f54p054","country_code":"US","type":"education","lineage":["https://openalex.org/I97018004"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"George Papanicolaou","raw_affiliation_strings":["Stanford University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Stanford University","institution_ids":["https://openalex.org/I97018004"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5111665510","display_name":"Tzu-Wei Yang","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Tzu-Wei Yang","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":4,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":25.3416,"has_fulltext":true,"cited_by_count":110,"citation_normalized_percentile":{"value":0.99332874,"is_in_top_1_percent":true,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":100},"biblio":{"volume":"4","issue":"1","first_page":"151","last_page":"184"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.996399998664856,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.996399998664856,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11829","display_name":"Mathematical Biology Tumor Growth","score":0.9850999712944031,"subfield":{"id":"https://openalex.org/subfields/2611","display_name":"Modeling and Simulation"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9790999889373779,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mean-field-theory","display_name":"Mean field theory","score":0.7591739892959595},{"id":"https://openalex.org/keywords/mean-reversion","display_name":"Mean reversion","score":0.7291520833969116},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.6309069991111755},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.574996829032898},{"id":"https://openalex.org/keywords/bistability","display_name":"Bistability","score":0.5613824725151062},{"id":"https://openalex.org/keywords/stability","display_name":"Stability (learning theory)","score":0.5122513175010681},{"id":"https://openalex.org/keywords/large-deviations-theory","display_name":"Large deviations theory","score":0.46154457330703735},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.43985143303871155},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.42024242877960205},{"id":"https://openalex.org/keywords/rate-function","display_name":"Rate function","score":0.4115889072418213},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.3214506506919861},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.22663986682891846},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.19780391454696655}],"concepts":[{"id":"https://openalex.org/C202213908","wikidata":"https://www.wikidata.org/wiki/Q626011","display_name":"Mean field theory","level":2,"score":0.7591739892959595},{"id":"https://openalex.org/C135205223","wikidata":"https://www.wikidata.org/wiki/Q367137","display_name":"Mean reversion","level":2,"score":0.7291520833969116},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.6309069991111755},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.574996829032898},{"id":"https://openalex.org/C97292510","wikidata":"https://www.wikidata.org/wiki/Q2304620","display_name":"Bistability","level":2,"score":0.5613824725151062},{"id":"https://openalex.org/C112972136","wikidata":"https://www.wikidata.org/wiki/Q7595718","display_name":"Stability (learning theory)","level":2,"score":0.5122513175010681},{"id":"https://openalex.org/C75438885","wikidata":"https://www.wikidata.org/wiki/Q3403615","display_name":"Large deviations theory","level":2,"score":0.46154457330703735},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.43985143303871155},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.42024242877960205},{"id":"https://openalex.org/C15964574","wikidata":"https://www.wikidata.org/wiki/Q7295534","display_name":"Rate function","level":3,"score":0.4115889072418213},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.3214506506919861},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.22663986682891846},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.19780391454696655},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C119857082","wikidata":"https://www.wikidata.org/wiki/Q2539","display_name":"Machine learning","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1137/12087387x","is_oa":false,"landing_page_url":"https://doi.org/10.1137/12087387x","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1204.3536","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1204.3536","pdf_url":"https://arxiv.org/pdf/1204.3536","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.747.2141","is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.747.2141","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://arxiv.org/pdf/1204.3536.pdf","raw_type":"text"},{"id":"pmh:oai:HAL:hal-00839500v1","is_oa":false,"landing_page_url":"https://hal.science/hal-00839500","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Financial Mathematics, 2013, 4 (1), pp.151-184. &#x27E8;10.1137/12087387X&#x27E9;","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:RePEc:arx:papers:1204.3536","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1204.3536","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1204.3536","pdf_url":"https://arxiv.org/pdf/1204.3536","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},"sustainable_development_goals":[{"display_name":"Partnerships for the goals","id":"https://metadata.un.org/sdg/17","score":0.46000000834465027}],"awards":[],"funders":[],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2017903822.pdf","grobid_xml":"https://content.openalex.org/works/W2017903822.grobid-xml"},"referenced_works_count":38,"referenced_works":["https://openalex.org/W2392040","https://openalex.org/W69072573","https://openalex.org/W1582771551","https://openalex.org/W1871436709","https://openalex.org/W1971263133","https://openalex.org/W1972760777","https://openalex.org/W1974345218","https://openalex.org/W1991333200","https://openalex.org/W2002424753","https://openalex.org/W2021611402","https://openalex.org/W2030918716","https://openalex.org/W2032592912","https://openalex.org/W2037102228","https://openalex.org/W2042901265","https://openalex.org/W2059120410","https://openalex.org/W2060381075","https://openalex.org/W2082199927","https://openalex.org/W2086687318","https://openalex.org/W2114493251","https://openalex.org/W2117991189","https://openalex.org/W2119062437","https://openalex.org/W2120510350","https://openalex.org/W2120874332","https://openalex.org/W2131355869","https://openalex.org/W2138732879","https://openalex.org/W2145430476","https://openalex.org/W2165244445","https://openalex.org/W2246394597","https://openalex.org/W2254802750","https://openalex.org/W2498866404","https://openalex.org/W3038470872","https://openalex.org/W3098781280","https://openalex.org/W3123085324","https://openalex.org/W3123232430","https://openalex.org/W3124498556","https://openalex.org/W3125196838","https://openalex.org/W4241997174","https://openalex.org/W4248270741"],"related_works":["https://openalex.org/W1980069444","https://openalex.org/W3129283872","https://openalex.org/W4308505361","https://openalex.org/W2035537799","https://openalex.org/W1758345231","https://openalex.org/W4288019214","https://openalex.org/W2120534643","https://openalex.org/W1971720173","https://openalex.org/W4290806040","https://openalex.org/W1978860619"],"abstract_inverted_index":{"We":[0,77,105,134],"consider":[1],"a":[2,15,25,109],"system":[3],"of":[4,21,38,44,52,64,67,74,84,93,102,112,121,138,141],"diffusion":[5],"processes":[6],"that":[7,32,98,107],"interact":[8],"through":[9,144],"their":[10,145],"empirical":[11,72],"mean":[12,65,73,103,146],"and":[13,49,87],"have":[14],"stabilizing":[16],"force":[17],"acting":[18],"on":[19],"each":[20,68],"them,":[22],"corresponding":[23],"to":[24,70,117],"bistable":[26],"potential.":[27],"There":[28],"are":[29],"three":[30],"parameters":[31,113],"characterize":[33],"the":[34,36,39,42,45,50,62,71,75,82,91,96,100,119,122,129,136],"system:":[35],"strength":[37,43],"intrinsic":[40],"stabilization,":[41],"external":[46],"random":[47],"perturbations,":[48],"degree":[51],"cooperation":[53,94,115],"or":[54,131],"interaction":[55],"between":[56,95],"them.":[57],"The":[58],"last":[59],"one":[60],"is":[61],"rate":[63,101],"reversion":[66],"component":[69],"system.":[76],"interpret":[78],"this":[79],"model":[80],"in":[81,89,108],"context":[83],"systemic":[85,132],"risk":[86],"analyze":[88],"detail":[90],"effect":[92],"components,":[97],"is,":[99],"reversion.":[104],"show":[106],"certain":[110],"regime":[111],"increasing":[114],"tends":[116],"increase":[118],"stability":[120],"individual":[123],"agents,":[124],"but":[125],"it":[126],"also":[127],"increases":[128],"overall":[130],"risk.":[133],"use":[135],"theory":[137],"large":[139],"deviations":[140],"diffusions":[142],"interacting":[143],"field.":[147]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":5},{"year":2024,"cited_by_count":6},{"year":2023,"cited_by_count":6},{"year":2022,"cited_by_count":12},{"year":2021,"cited_by_count":7},{"year":2020,"cited_by_count":10},{"year":2019,"cited_by_count":19},{"year":2018,"cited_by_count":7},{"year":2017,"cited_by_count":11},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":8},{"year":2014,"cited_by_count":5},{"year":2013,"cited_by_count":11}],"updated_date":"2026-07-28T07:46:37.118299","created_date":"2025-10-10T00:00:00"}
