77 citations · 329 across the 29 of their papers we have counts for
4 papers · 1 filter
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…