Reis, Goncalo dos
- Importance sampling for McKean-Vlasov SDEs
2018/03/25 by Gonçalo dos Reis, Reis, Goncalo dos, Greig Smith +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
- Euler simulation of interacting particle systems and McKean-Vlasov SDEs with fully superlinear growth drifts in space and interaction
2022/08/26 by Xingyuan Chen, Gonçalo dos Reis, Chen, Xingyuan +1 · 6 citations
Economics, Econometrics and Finance · Mathematics · #65C05 #65C30 #65C35 #Differential Equations and Numerical Methods #FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
- Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean--Vlasov SDEs and associated particle systems
2023/02/10 by Xingyuan Chen, Chen, Xingyuan, Gonçalo dos Reis +3 · 6 citations
Economics, Econometrics and Finance · Engineering · Mathematics · #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Mathematical Biology Tumor Growth #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
- Forward utility and market adjustments in relative investment-consumption games of many players
2020/12/02 by Gonçalo dos Reis, Reis, Goncalo dos, В. А. Платонов +1 · 2 citations
Economics, Econometrics and Finance · #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #General Economics (econ.GN) #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM) #Probability (math.PR) #Stochastic processes and financial applications
- Ito-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows
2019/10/04 by Reis, Goncalo dos, Platonov, Vadim · 2 citations
#60H05 (Primary) #60H10 #60H15 (Secondary) #FOS: Mathematics #Functional Analysis (math.FA) #Probability (math.PR)
- Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs
2013/01/16 by Paul Gassiat, Gassiat, Paul, Harald Oberhauser +3 · 1 citation
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #Theoretical and Computational Physics
- Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations
2018/09/26 by Pfeuffer, Marius, Reis, Goncalo dos, smith, Greig · 1 citation
#60G55 #62F15 #91G40 #FOS: Economics and business #Risk Management (q-fin.RM) #Statistical Finance (q-fin.ST)
- Forward utilities and Mean-field games under relative performance concerns
2020/05/16 by Gonçalo dos Reis, Reis, Goncalo dos, В. А. Платонов +1 · 1 citation
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Financial Markets and Investment Strategies #Portfolio Management (q-fin.PM) #Probability (math.PR)
- Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent
2023/10/20 by Agarwal, Ankush, Amato, Andrea, Reis, Goncalo dos +1 · 1 citation
#FOS: Mathematics #Numerical Analysis (math.NA) #Probability (math.PR)