5 citations · 15 across the 8 of their papers we have counts for
5 papers · 1 filter
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 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 +…
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…