Greig Smith
- Simulation of McKean Vlasov SDEs with super linear growth
2018/08/16 by Gonçalo dos Reis, Stefan Engelhardt, Reis, G. dos +3 · 13 citations
Economics, Econometrics and Finance · Physics and Astronomy · Engineering · #Stochastic processes and financial applications #Advanced Thermodynamics and Statistical Mechanics #Fluid Dynamics and Turbulent Flows
- Importance sampling for McKean-Vlasov SDEs
2018/03/25 by Gonçalo dos Reis, Greig Smith, Reis, Goncalo dos +3 · 6 citations
Economics, Econometrics and Finance · Energy · Social Sciences · #65C05 #65C30 #65C35 #FOS: Mathematics #Global Energy and Sustainability Research #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Stochastic processes and financial applications