77 citations · 329 across the 29 of their papers we have counts for
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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…