Gonçalo Dos Reis

According to our database, Gonçalo Dos Reis authored at least 15 papers between 2017 and 2024.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

High Order Splitting Methods for SDEs Satisfying a Commutativity Condition.

James M. Foster, Gonçalo Dos Reis, Calum Strange

SIAM J. Numer. Anal., February, 2024

A Mean Field Ansatz for Zero-Shot Weight Transfer.

Xingyuan Chen, Wenwei Kuang, Lei Deng, Wei Han, Bo Bai, Gonçalo Dos Reis

CoRR, 2024

Improved weak convergence for the long time simulation of Mean-field Langevin equations.

Xingyuan Chen, Gonçalo Dos Reis, Wolfgang Stockinger, Zac Wilde

CoRR, 2024

2023

Importance sampling for McKean-Vlasov SDEs.

Gonçalo Dos Reis, Greig Smith, Peter Tankov

Appl. Math. Comput., September, 2023

Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent.

Ankush Agarwal, Andrea Amato, Gonçalo Dos Reis, Stefano Pagliarani

CoRR, 2023

An iterative method for Helmholtz boundary value problems arising in wave propagation.

Francisco Bernal, Xingyuan Chen, Gonçalo Dos Reis

CoRR, 2023

Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean-Vlasov SDEs and associated particle systems.

Xingyuan Chen, Gonçalo Dos Reis, Wolfgang Stockinger

CoRR, 2023

2022

Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players.

Gonçalo Dos Reis, Vadim Platonov

SIAM J. Financial Math., September, 2022

Euler simulation of interacting particle systems and McKean-Vlasov SDEs with fully superlinear growth drifts in space and interaction.

Xingyuan Chen, Gonçalo Dos Reis

CoRR, 2022

An explicit Milstein-type scheme for interacting particle systems and McKean-Vlasov SDEs with common noise and non-differentiable drift coefficients.

Sani Biswas, Chaman Kumar, Neelima, Gonçalo Dos Reis, Christoph Reisinger

CoRR, 2022

A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations.

Xingyuan Chen, Gonçalo Dos Reis

Appl. Math. Comput., 2022

2021

Operator-splitting schemes for degenerate conservative-dissipative systems.

Daniel Adams, Manh Hong Duong, Gonçalo Dos Reis

CoRR, 2021

A flexible split-step scheme for MV-SDEs.

Xingyuan Chen, Gonçalo Dos Reis

CoRR, 2021

2020

Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise.

Neelima, Sani Biswas, Chaman Kumar, Gonçalo Dos Reis, Christoph Reisinger

CoRR, 2020

2017

Equilibrium Pricing Under Relative Performance Concerns.

Jana Bielagk, Arnaud Lionnet, Gonçalo Dos Reis

SIAM J. Financial Math., 2017