Gonçalo Dos Reis

Publication Activity (10 Years)

Years Active: 2017-2024
Publications (10 Years): 14

Top Topics

Globally Convergent

Differential Equations

Boundary Value Problem

Top Venues

Appl. Math. Comput.

SIAM J. Financial Math.

SIAM J. Numer. Anal.

Publications

Xingyuan Chen, Gonçalo Dos Reis, Wolfgang Stockinger, Zac Wilde
Improved weak convergence for the long time simulation of Mean-field Langevin equations. CoRR (2024)
James M. Foster, Gonçalo Dos Reis, Calum Strange
High Order Splitting Methods for SDEs Satisfying a Commutativity Condition. SIAM J. Numer. Anal. 62 (1) (2024)
Francisco Bernal, Xingyuan Chen, Gonçalo Dos Reis
An iterative method for Helmholtz boundary value problems arising in wave propagation. CoRR (2023)
Gonçalo Dos Reis, Greig Smith, Peter Tankov
Importance sampling for McKean-Vlasov SDEs. Appl. Math. Comput. 453 (2023)
Xingyuan Chen, Gonçalo Dos Reis, Wolfgang Stockinger
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean-Vlasov SDEs and associated particle systems. CoRR (2023)
Ankush Agarwal, Andrea Amato, Gonçalo Dos Reis, Stefano Pagliarani
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent. CoRR (2023)
Xingyuan Chen, Gonçalo Dos Reis
A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations. Appl. Math. Comput. 427 (2022)
Sani Biswas, Chaman Kumar, Neelima, Gonçalo Dos Reis, Christoph Reisinger
An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients. CoRR (2022)
Xingyuan Chen, Gonçalo Dos Reis
Euler simulation of interacting particle systems and McKean-Vlasov SDEs with fully superlinear growth drifts in space and interaction. CoRR (2022)
Gonçalo Dos Reis, Vadim Platonov
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players. SIAM J. Financial Math. 13 (3) (2022)
Xingyuan Chen, Gonçalo Dos Reis
A flexible split-step scheme for MV-SDEs. CoRR (2021)
Daniel Adams, Manh Hong Duong, Gonçalo Dos Reis
Operator-splitting schemes for degenerate conservative-dissipative systems. CoRR (2021)
Neelima, Sani Biswas, Chaman Kumar, Gonçalo Dos Reis, Christoph Reisinger
Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise. CoRR (2020)
Jana Bielagk, Arnaud Lionnet, Gonçalo Dos Reis
Equilibrium Pricing Under Relative Performance Concerns. SIAM J. Financial Math. 8 (1) (2017)