77 citations · 329 across the 29 of their papers we have counts for
17 papers · 1 filter
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-…
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…
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…
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…
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…
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…
Quadratic FBSDE with generalized Burgers' type nonlinearities, perturbations and large deviations
Christoph Frei, Gonçalo Dos Reis
We discuss BSDE with drivers containing nonlinearities of the type and with a polynomial of any degree. Sufficient conditions are given for existence and…
FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity
Gonçalo dos Reis, Anthony Réveillac, Jianing Zhang
We extend the work of Delong and Imkeller (2010a,b) concerning Backward stochastic differential equations with time delayed generators (delay BSDE). We give moment and a priori est…
Path regularity and explicit convergence rate for BSDE with truncated quadratic growth
Peter Imkeller, Goncalo dos Reis
We consider backward stochastic differential equations with drivers of quadratic growth (qgBSDE). We prove several statements concerning path regularity and stochastic smoothness o…
Classical and Variational Differentiability of BSDEs with quadratic growth
Stefan Ankirchner, Peter Imkeller, Goncalo Dos Reis
We consider Backward Stochastic Differential Equations (BSDE) with generators that grow quadratically in the control variable. In a more abstract setting, we first allow both the t…