Abstract：Based on the dynamics of inter-bank money flow, a bank money storage network model driven by fractional Brownian motion and involving central bank is proposed. Each bank borrows money from other banks at a specific rate and, in certain circumstances, can borrow money from the central bank, but that creates borrowing costs. The money store of the bank in the system satisfies the stochastic differential equation given in the paper. The mathematical expression of system risk index-the overall probability of bankruptcy and total system activity is given, the optimal cost of borrowing funds from the central bank is obtained by linear quadratic control method.
李志民, 徐汉亭, 于曼. 基于分数布朗运动驱动的银行货币存贮网络模型系统风险和最优控制的研究[J]. 系统工程理论与实践, 2019, 39(9): 2246-2254.
LI Zhimin, XU Hanting, YU Man. Study on the systemic risk and optimal control of bank money storage network model based on fractional Brownian motion. Systems Engineering - Theory & Practice, 2019, 39(9): 2246-2254.
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2019, Vol. 39 
