Reis, Gonçalo dos
- Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise
2020/10/16 by Neelima Neelima, Sani Biswas, Neelima +7 · 3 citations
Economics, Econometrics and Finance · Mathematics · Physics and Astronomy · #60H35 #65C05 #65C30 #65C35 #Advanced Thermodynamics and Statistical Mechanics #FOS: Mathematics #Mathematical Biology Tumor Growth #Numerical Analysis (math.NA) #Probability (math.PR) #Stochastic processes and financial applications
- An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients
2022/08/22 by Sani Biswas, Biswas, Sani, Chaman Kumar +7 · 3 citations
Economics, Econometrics and Finance · Engineering · Mathematics · #60H35 #65C05 #65C30 #65C35 #FOS: Mathematics #Fluid Dynamics and Turbulent Flows #Numerical Analysis (math.NA) #Probability (math.PR) #Statistical Methods and Bayesian Inference #Stochastic processes and financial applications
- Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth
2016/07/22 by Arnaud Lionnet, Lionnet, Arnaud, Gonçalo dos Reis +3 · 2 citations
Decision Sciences · Economics, Econometrics and Finance · #FOS: Mathematics #Numerical Analysis (math.NA) #Probabilistic and Robust Engineering Design #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications