Stability analysis and fixed-time control of credit risk contagion

Maziar Ebrahimi Dehshalie, Meisam Kabiri and Mahyar Ebrahimi Dehshali

Mathematics and Computers in Simulation (MATCOM), 2021, vol. 190, issue C, 131-139

Abstract: This paper explores the time-delay nonlinear Susceptible–Infected–Recovered (SIR) model describing the credit risk contagion. This model describes the propagation of the financial crisis in the network of markets interacting with each other. First, we study the exponential stability of the time-delay SIR model and find sufficient conditions to achieve it. Thereafter, based on the feedback from a group of markets, the suitable fixed-time control law is developed under which all the participants of the network become healthy. The conditions presented in both sections are based on Linear Matrix inequality. Finally, the simulations for the presented theoretic results are presented.

Keywords: Credit risk contagion; Nonlinear time-delay SIR model; Exponentially stability; Finite-time stability (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:190:y:2021:i:c:p:131-139

DOI: 10.1016/j.matcom.2021.05.024

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