Rational expectations and stochastic systems

Abstract : This paper proposes a stochastic model for describing rational expectations. The context is systemic risk, with interconnected components of a unified system. The evolution dynamics leading to the failure of the system is explored either under a theoretical point of view as well as through an extensive scenario analysis.
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https://halshs.archives-ouvertes.fr/halshs-01673338
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Submitted on : Friday, December 29, 2017 - 11:41:25 AM
Last modification on : Tuesday, January 30, 2018 - 5:50:04 PM

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Jorgen-Vitting Andersen, Roy Cerqueti, Giulia Rotundo. Rational expectations and stochastic systems. 2017. ⟨halshs-01673338⟩

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