77 citations · 329 across the 29 of their papers we have counts for
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math.PR2018
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…
math.PR2018★ 1 cited
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…