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ORCIDGonçalo Dos Reis
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2020 – today
- 2024
[j5]James M. Foster
, Gonçalo Dos Reis, Calum Strange:
High Order Splitting Methods for SDEs Satisfying a Commutativity Condition. SIAM J. Numer. Anal. 62(1): 500-532 (2024)- [i11]Xingyuan Chen, Gonçalo Dos Reis, Wolfgang Stockinger, Zac Wilde:
Improved weak convergence for the long time simulation of Mean-field Langevin equations. CoRR abs/2405.01346 (2024) - [i10]Xingyuan Chen, Wenwei Kuang, Lei Deng, Wei Han, Bo Bai, Gonçalo Dos Reis:
A Mean Field Ansatz for Zero-Shot Weight Transfer. CoRR abs/2408.08681 (2024) - 2023
- [j4]Gonçalo Dos Reis, Greig Smith, Peter Tankov:
Importance sampling for McKean-Vlasov SDEs. Appl. Math. Comput. 453: 128078 (2023) - [i9]Xingyuan Chen, Gonçalo Dos Reis, Wolfgang Stockinger:
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean-Vlasov SDEs and associated particle systems. CoRR abs/2302.05133 (2023) - [i8]Francisco Bernal, Xingyuan Chen, Gonçalo Dos Reis:
An iterative method for Helmholtz boundary value problems arising in wave propagation. CoRR abs/2308.11469 (2023) - [i7]Ankush Agarwal, Andrea Amato, Gonçalo Dos Reis, Stefano Pagliarani:
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent. CoRR abs/2310.13579 (2023) - 2022
- [j3]Xingyuan Chen, Gonçalo Dos Reis:
A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations. Appl. Math. Comput. 427: 127180 (2022) - [j2]Gonçalo Dos Reis, Vadim Platonov:
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players. SIAM J. Financial Math. 13(3): 844-876 (2022) - [i6]Sani Biswas, Chaman Kumar, Neelima, Gonçalo Dos Reis, Christoph Reisinger:
An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients. CoRR abs/2208.10052 (2022) - [i5]Xingyuan Chen, Gonçalo Dos Reis:
Euler simulation of interacting particle systems and McKean-Vlasov SDEs with fully superlinear growth drifts in space and interaction. CoRR abs/2208.12772 (2022) - [i4]James M. Foster, Gonçalo Dos Reis, Calum Strange:
High order splitting methods for SDEs satisfying a commutativity condition. CoRR abs/2210.17543 (2022) - 2021
- [i3]Xingyuan Chen, Gonçalo Dos Reis:
A flexible split-step scheme for MV-SDEs. CoRR abs/2105.09688 (2021) - [i2]Daniel Adams, Manh Hong Duong, Gonçalo Dos Reis:
Operator-splitting schemes for degenerate conservative-dissipative systems. CoRR abs/2105.11146 (2021) - 2020
- [i1]Neelima, Sani Biswas, Chaman Kumar, Gonçalo Dos Reis, Christoph Reisinger:
Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise. CoRR abs/2010.08585 (2020)
2010 – 2019
- 2017
- [j1]Jana Bielagk, Arnaud Lionnet, Gonçalo Dos Reis:
Equilibrium Pricing Under Relative Performance Concerns. SIAM J. Financial Math. 8(1): 435-482 (2017)
Coauthor Index
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