77 citations · 329 across the 29 of their papers we have counts for
30 papers
Improved weak convergence for the long time simulation of Mean-field Langevin equations
Xingyuan Chen, Goncalo dos Reis, Wolfgang Stockinger +1
We study the weak convergence behaviour of the Leimkuhler--Matthews method, a non-Markovian Euler-type scheme with the same computational cost as the Euler scheme, for the approxim…
Malliavin differentiability of McKean-Vlasov SDEs with locally Lipschitz coefficients
Goncalo dos Reis, Zac Wilde
In this short note, we establish Malliavin differentiability of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts satisfying both a locally Lipschitz and a one-…
An iterative method for Helmholtz boundary value problems arising in wave propagation
Francisco Bernal, Xingyuan Chen, Goncalo dos Reis
The complex Helmholtz equation (where ) is a mainstay of computational wave simulation. Despite its apparent simplici…
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean--Vlasov SDEs and associated particle systems
Xingyuan Chen, Goncalo dos Reis, Wolfgang Stockinger
We study a class of McKean--Vlasov Stochastic Differential Equations (MV-SDEs) with drifts and diffusions having super-linear growth in measure and space -- the maps have general p…
Many-Server Queueing Systems with Heterogeneous Strategic Servers in Heavy Traffic
Burak Büke, Goncalo dos Reis, Vadim Platonov
In most service systems, the servers are humans who desire to experience a certain level of idleness. In call centers, this manifests itself as the call avoidance behavior, where s…
High order splitting methods for SDEs satisfying a commutativity condition
James Foster, Goncalo dos Reis, Calum Strange
In this paper, we introduce a new simple approach to developing and establishing the convergence of splitting methods for a large class of stochastic differential equations (SDEs),…
Euler simulation of interacting particle systems and McKean-Vlasov SDEs with fully superlinear growth drifts in space and interaction
Xingyuan Chen, Goncalo dos Reis
We consider in this work the convergence of a split-step Euler type scheme (SSM) for the numerical simulation of interacting particle Stochastic Differential Equation (SDE) systems…
An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients
Sani Biswas, Chaman Kumar, Neelima +2
We propose an explicit drift-randomised Milstein scheme for both McKean--Vlasov stochastic differential equations and associated high-dimensional interacting particle systems with…
Operator-splitting schemes for degenerate, non-local, conservative-dissipative systems
Daniel Adams, Manh Hong Duong, Goncalo dos Reis
In this paper, we develop a natural operator-splitting variational scheme for a general class of non-local, degenerate conservative-dissipative evolutionary equations. The splittin…
A flexible split-step scheme for solving McKean-Vlasov Stochastic Differential Equations
Xingyuan Chen, Goncalo dos Reis
We present an implicit Split-Step explicit Euler type Method (dubbed SSM) for the simulation of McKean-Vlasov Stochastic Differential Equations (MV-SDEs) with drifts of superlinear…
Entropic regularisation of non-gradient systems
Daniel Adams, Manh Hong Duong, Goncalo dos Reis
The theory of Wasserstein gradient flows in the space of probability measures has made an enormous progress over the last twenty years. It constitutes a unified and powerful framew…
Forward utility and market adjustments in relative investment-consumption games of many players
Goncalo dos Reis, Vadim Platonov
We study a portfolio management problem featuring many-player and mean field competition, investment and consumption, and relative performance concerns under the forward performanc…
Large Deviations and Exit-times for reflected McKean-Vlasov equations with self-stabilizing terms and superlinear drifts
Daniel Adams, Gonçalo dos Reis, Romain Ravaille +2
We study a class of reflected McKean-Vlasov diffusions over a convex domain with self-stabilizing coefficients. This includes coefficients that do not satisfy the classical Wassers…
Ito-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows
Goncalo dos Reis, Vadim Platonov
We present several Ito-Wentzell formulae on Wiener spaces for real-valued functional random field of Ito type that depend on measure flows. We distinguish the full- and the margina…
An unbiased Ito type stochastic representation for transport PDEs: A Toy Example
Goncalo dos Reis, Greig Smith
We propose a stochastic representation for a simple class of transport PDEs based on Ito representations. We detail an algorithm using an estimator stemming for the representation…
Differentiability of SDEs with drifts of super-linear growth
Peter Imkeller, Gonçalo dos Reis, William Salkeld
We close an unexpected gap in the literature of stochastic differential equations (SDEs) with drifts of super linear growth (and random coefficients), namely, we prove Malliavin an…
Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the Functional Iterated Logarithm Law
Goncalo Dos Reis, William Salkeld, Julian Tugaut
We show two Freidlin-Wentzell type Large Deviations Principles (LDP) in path space topologies (uniform and Hölder) for the solution process of McKean-Vlasov Stochastic Differential…
Hybrid PDE solver for data-driven problems and modern branching
Francisco Bernal, Gonçalo dos Reis, Greig Smith
The numerical solution of large-scale PDEs, such as those occurring in data-driven applications, unavoidably require powerful parallel computers and tailored parallel algorithms to…
Robust and Consistent Estimation of Generators in Credit Risk
Greig Smith, Goncalo dos Reis
Bond rating Transition Probability Matrices (TPMs) are built over a one-year time-frame and for many practical purposes, like the assessment of risk in portfolios or the computatio…
Full-Projection explicit FBSDE scheme for parabolic PDEs with superlinear nonlinearities
Arnaud Lionnet, Gonçalos dos Reis, Lukasz Szpruch
Developing efficient and stable approximations for high dimensional PDEs is of key importance for numerous applications. The language of Forward-Backward Stochastic Differential Eq…
Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth
Arnaud Lionnet, Gonçalo dos Reis, Lukasz Szpruch
The theory of Forward-Backward Stochastic Differential Equations (FBSDEs) paves a way to probabilistic numerical methods for nonlinear parabolic PDEs. The majority of the results o…
Equilibrium pricing under relative performance concerns
Jana Bielagk, Arnaud Lionnet, Goncalo Dos Reis
We investigate the effects of the social interactions of a finite set of agents on an equilibrium pricing mechanism. A derivative written on non-tradable underlyings is introduced…
Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs
Arnaud Lionnet, Gonçalo dos Reis, Lukasz Szpruch
In this paper, we undertake the error analysis of the time discretization of systems of Forward-Backward Stochastic Differential Equations (FBSDEs) with drivers having polynomial g…
A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE
Gonçalo Dos Reis, Ricardo J. N. dos Reis
In this small note we are concerned with the solution of Forward-Backward Stochastic Differential Equations (FBSDE) with drivers that grow quadratically in the control component (q…