Analysis of financial risk contagion based on stochastic sirs epidemic model

Abstract

Motivated by similarities between the contagion of financial risks and the spread of infectious diseases in SIRS model, this paper investigates cross-contagion in financial markets under a stochastic SIRS epidemic model driven by Brownian motions and a jump process. The existence and uniqueness of the global positive solution for the stochastic model are proved to guarantee its practical significance. Under mild assumptions, we obtain the asymptotic behaviour of the stochastic model around the risk-free and risk equilibrium points.