Gonçalo dos Reis

Available identifiers

zbMath Open dos-reis.goncaloMaRDI QIDQ554464

List of research outcomes

Publication	Date of Publication	Type
High Order Splitting Methods for SDEs Satisfying a Commutativity Condition	2024-03-05	Paper
Malliavin differentiability of McKean-Vlasov SDEs with locally Lipschitz coefficients	2023-10-20	Paper
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent	2023-10-20	Paper
Itô-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows	2023-10-13	Paper
An iterative method for Helmholtz boundary value problems arising in wave propagation	2023-08-22	Paper
Importance sampling for McKean-Vlasov SDEs	2023-06-27	Paper
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean--Vlasov SDEs and associated particle systems	2023-02-10	Paper
Regression-type analysis for multivariate extreme values	2022-11-08	Paper
Many-Server Queueing Systems with Heterogeneous Strategic Servers in Heavy Traffic	2022-11-08	Paper
https://portal.mardi4nfdi.de/entity/Q5039933	2022-10-10	Paper
An Unbiased Itô Type Stochastic Representation for Transport PDEs: A Toy Example	2022-09-30	Paper
Euler simulation of interacting particle systems and McKean-Vlasov SDEs with fully superlinear growth drifts in space and interaction	2022-08-26	Paper
Forward Utility and Market Adjustments in Relative Investment-Consumption Games of Many Players	2022-08-22	Paper
An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients	2022-08-22	Paper
A flexible split-step scheme for solving McKean-Vlasov stochastic differential equations	2022-05-23	Paper
Simulation of McKean–Vlasov SDEs with super-linear growth	2022-01-27	Paper
On the relation between Stratonovich and Ito integrals with functional integrands of conditional measure flows	2021-11-05	Paper
Operator-splitting schemes for degenerate, non-local, conservative-dissipative systems	2021-05-24	Paper
A flexible split-step scheme for solving McKean-Vlasov Stochastic Differential Equations	2021-05-20	Paper
Regression-type analysis for block maxima on block maxima	2021-02-18	Paper
The Skorokhod embedding problem for inhomogeneous diffusions	2021-02-15	Paper
Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by L\'evy noise	2020-10-16	Paper
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure	2020-09-08	Paper
Forward utilities and Mean-field games under relative performance concerns	2020-05-16	Paper
Rough functional quantization and the support of McKean-Vlasov equations	2019-11-05	Paper
Freidlin-Wentzell LDP in path space for McKean-Vlasov equations and the functional iterated logarithm law	2019-05-22	Paper
Differentiability of SDEs with drifts of super-linear growth	2019-02-14	Paper
Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth	2018-11-07	Paper
On the Hausdorff dimension of a 2-dimensional Weierstrass curve	2018-06-25	Paper
Hybrid PDE solver for data-driven problems and modern branching	2018-02-05	Paper
Equilibrium Pricing Under Relative Performance Concerns	2017-07-20	Paper
Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth	2016-07-22	Paper
Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs	2015-10-20	Paper
Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs	2015-10-12	Paper
A NOTE ON COMONOTONICITY AND POSITIVITY OF THE CONTROL COMPONENTS OF DECOUPLED QUADRATIC FBSDE	2013-11-20	Paper
QUADRATIC FBSDE WITH GENERALIZED BURGERS' TYPE NONLINEARITIES, PERTURBATIONS AND LARGE DEVIATIONS	2013-05-28	Paper
On securitization, market completion and equilibrium risk transfer	2013-01-20	Paper
A financial market with interacting investors: does an equilibrium exist?	2013-01-20	Paper
FBDEs with time delayed generators: \(L^{p}\)-solutions, differentiability, representation formulas and path regularity	2011-08-04	Paper
Results on Numerics for FBSDE with Drivers of Quadratic Growth	2011-05-31	Paper
Corrigendum to ``Path regularity and explicit convergence rate for BSDE with truncated quadratic growth	2010-11-19	Paper
PRICING AND HEDGING OF DERIVATIVES BASED ON NONTRADABLE UNDERLYINGS	2010-04-22	Paper
Path regularity and explicit convergence rate for BSDE with truncated quadratic growth	2010-03-01	Paper
Classical and variational differentiability of BSDEs with quadratic growth	2007-11-23	Paper

Research outcomes over time

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