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math.PR2023
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-…
math.NA2023
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…
math.PR2023★ 4 cited
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…