5 citations · 15 across the 8 of their papers we have counts for
10 papers
An introduction to tensors for path signatures
Jack Beda, Goncalo dos Reis, Nikolas Tapia
We present a fit-for-purpose introduction to tensors and their operations. It is envisaged to help the reader become acquainted with its underpinning concepts for the study of path…
A Mean Field Ansatz for Zero-Shot Weight Transfer
Xingyuan Chen, Wenwei Kuang, Lei Deng +3
The pre-training cost of large language models (LLMs) is prohibitive. One cutting-edge approach to reduce the cost is zero-shot weight transfer, also known as model growth for some…
On the relation between Stratonovich and Ito integrals with functional integrands of conditional measure flows
Goncalo dos Reis, Vadim Platonov
In this small note we explicit the relation between Ito and Stratonovich integrals when conditional measure flow components are present in the integrands. The `correction' term inv…
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure
Peter Imkeller, Olivier Menoukeu Pamen, Goncalo dos Reis +1
We investigate Weierstrass functions with roughness parameter that are Hölder continuous with coefficient Analytical access is provided by an embedd…
Forward utilities and Mean-field games under relative performance concerns
Goncalo dos Reis, Vadim Platonov
We introduce the concept of mean field games for agents using Forward utilities of CARA type to study a family of portfolio management problems under relative performance concerns.…
Rough functional quantization and the support of McKean-Vlasov equations
Thomas Cass, Goncalo dos Reis, William Salkeld
We prove a representation for the support of McKean Vlasov Equations. To do so, we construct functional quantizations for the law of Brownian motion as a measure over the (non-refl…
The Skorokhod embedding problem for inhomogeneous diffusions
Stefan Ankirchner, Stefan Engelhardt, Alexander Fromm +1
We solve the Skorokhod embedding problem for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form $d A_t =μ(t, A_t) d t +…
On the Hausdorff dimension of a 2-dimensional Weierstrass curve
Peter Imkeller, Goncalo dos Reis
We compute the Hausdorff dimension of a two-dimensional Weierstrass function, related to lacunary (Hadamard gap) power series, that has no Lévy area. This is done by interpreting i…
Importance sampling for McKean-Vlasov SDEs
Goncalo dos Reis, Greig Smith, Peter Tankov
This paper deals with the Monte-Carlo methods for evaluating expectations of functionals of solutions to McKean-Vlasov Stochastic Differential Equations (MV-SDE) with drifts of sup…
Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
Paul Gassiat, Harald Oberhauser, Goncalo dos Reis
We revisit work of Rost, Dupire and Cox--Wang on connections between Root's solution of the Skorokhod embedding problem and obstacle problems. We develop an approach based on visco…