GR
Goncalo dos Reis
math.PRcs.NAmath.NAmath.APmath.DSq-fin.CPmath.CAq-fin.MFq-fin.PMq-fin.RM
On Valency
published · living versionsW_xte7sv5e·v1 · currentpublished
Pricing and hedging of derivatives based on non-tradable underlyings
with Stefan Ankirchner, Peter Imkeller
1 version
W_sn3rp24t·v1published
Preprints & journals
50 papers in the corpus · 2007–2025Tamed Euler approximation for fully superlinear growth McKean-Vlasov SDE and their particle systems: sharp rates for strong propagation of chaos, convergence and ergodicity2510.16427v1 · Simran Soni, Neelima, Chaman Kumar et al.2025 · 0 citationsarXiv
Malliavin differentiability of McKean-Vlasov SDEs with common noise2510.01017v1 · Jianhai Bao, Goncalo dos Reis, Zac Wilde2025 · 2 citationsarXiv
Data-driven approximation of transfer operators for mean-field stochastic differential equations2509.09891v1 · Eirini Ioannou, Stefan Klus, Goncalo dos Reis2025 · 0 citationsarXiv
An introduction to tensors for path signatures2502.15703v2 · Jack Beda, Goncalo dos Reis, Nikolas Tapia2025 · 0 citationsarXiv
The random periodic solutions for McKean-Vlasov stochastic differential equations2408.17242v2 · Jianhai Bao, Goncalo Dos Reis, Yue Wu2024 · 0 citationsarXiv
A Mean Field Ansatz for Zero-Shot Weight Transfer2408.08681v1 · Xingyuan Chen, Wenwei Kuang, Lei Deng et al.2024 · 0 citationsarXiv
Improved weak convergence for the long time simulation of Mean-field Langevin equations2405.01346v2 · Xingyuan Chen, Goncalo dos Reis, Wolfgang Stockinger et al.2024 · 4 citationsarXiv
Data-Driven Battery Characterization and Prognosis: Recent Progress, Challenges, and Prospects.38213008 · Ji, Shanling, Zhu, Jianxiong, Yang, Yaxin et al.2024 · 56 citationsSmall methods. 2024;8(7):e2301021
Malliavin differentiability of McKean-Vlasov SDEs with locally Lipschitz coefficients2310.13400v5 · Goncalo dos Reis, Zac Wilde2023 · 0 citationsarXiv
Numerical approximation of McKean-Vlasov SDEs via stochastic gradient descent2310.13579v4 · Ankush Agarwal, Andrea Amato, Goncalo dos Reis et al.2023 · 2 citationsarXiv
An iterative method for Helmholtz boundary value problems arising in wave propagation2308.11469v1 · Francisco Bernal, Xingyuan Chen, Goncalo dos Reis2023 · 0 citationsarXiv
Wellposedness, exponential ergodicity and numerical approximation of fully super-linear McKean--Vlasov SDEs and associated particle systems2302.05133v5 · Xingyuan Chen, Goncalo dos Reis, Wolfgang Stockinger2023 · 13 citationsarXiv
Many-Server Queueing Systems with Heterogeneous Strategic Servers in Heavy Traffic2211.04158v2 · Burak Buke, Goncalo dos Reis, Vadim Platonov2022 · 0 citationsarXiv
High order splitting methods for SDEs satisfying a commutativity condition2210.17543v6 · James Foster, Goncalo dos Reis, Calum Strange2022 · 6 citationsSIAM Journal on Numerical Analysis, vol. 62, no. 1, pp. 500-532, 2024
Euler simulation of interacting particle systems and McKean-Vlasov SDEs with fully superlinear growth drifts in space and interaction2208.12772v2 · Xingyuan Chen, Goncalo dos Reis2022 · 14 citationsarXiv
An explicit Milstein-type scheme for interacting particle systems and McKean--Vlasov SDEs with common noise and non-differentiable drift coefficients2208.10052v2 · Sani Biswas, Chaman Kumar, Neelima et al.2022 · 8 citationsarXiv
"Knees" in lithium-ion battery aging trajectories2201.02891v1 · Peter M. Attia, Alexander Bills, Ferran Brosa Planella et al.2022 · 495 citationsarXiv
Regression-type analysis for multivariate extreme values.36312517 · de Carvalho, Miguel, Kumukova, Alina, Dos Reis, Gonçalo2022 · 11 citationsExtremes. 2022;25(4):595-622
On the relation between Stratonovich and Ito integrals with functional integrands of conditional measure flows2111.03523v1 · Goncalo dos Reis, Vadim Platonov2021 · 0 citationsarXiv
Operator-splitting schemes for degenerate, non-local, conservative-dissipative systems2105.11146v4 · Daniel Adams, Manh Hong Duong, Goncalo dos Reis2021 · 2 citationsarXiv
A flexible split-step scheme for solving McKean-Vlasov Stochastic Differential Equations2105.09688v3 · Xingyuan Chen, Goncalo dos Reis2021 · 12 citationsApplied Mathematics and Computation 427 (2022): 127180
Entropic regularisation of non-gradient systems2104.04372v2 · Daniel Adams, Manh Hong Duong, Goncalo dos Reis2021 · 2 citationsarXiv
Regression-type analysis for block maxima on block maxima2102.09497v2 · Miguel de Carvalho, Goncalo dos Reis, Alina Kumukova2021 · 0 citationsarXiv
Forward utility and market adjustments in relative investment-consumption games of many players2012.01235v2 · Goncalo dos Reis, Vadim Platonov2020 · 19 citationsarXiv
Well-posedness and tamed Euler schemes for McKean-Vlasov equations driven by Lévy noise2010.08585v1 · Neelima, Sani Biswas, Chaman Kumar et al.2020 · 9 citationsarXiv
Rough Weierstrass functions and dynamical systems: the smoothness of the SBR measure2009.03628v2 · Peter Imkeller, Olivier Menoukeu Pamen, Goncalo dos Reis et al.2020 · 2 citationsarXiv
Large Deviations and Exit-times for reflected McKean-Vlasov equations with self-stabilizing terms and superlinear drifts2005.10057v3 · Daniel Adams, Goncalo dos Reis, Romain Ravaille et al.2020 · 40 citationsarXiv
Forward utilities and Mean-field games under relative performance concerns2005.09461v3 · Goncalo dos Reis, Vadim Platonov2020 · 15 citationsarXiv
Rough functional quantization and the support of McKean-Vlasov equations1911.01992v2 · Thomas Cass, Goncalo dos Reis, William Salkeld2019 · 1 citationarXiv
Ito-Wentzell-Lions formula for measure dependent random fields under full and conditional measure flows1910.01892v3 · Goncalo dos Reis, Vadim Platonov2019 · 12 citationsarXiv
The Skorokhod embedding problem for inhomogeneous diffusions1810.05098v2 · Stefan Ankirchner, Stefan Engelhardt, Alexander Fromm et al.2018 · 1 citationarXiv
Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations1809.09889v2 · Marius Pfeuffer, Goncalo dos Reis, Greig smith2018 · 16 citationsarXiv
Simulation of McKean Vlasov SDEs with super linear growth1808.05530v4 · G. dos Reis, S. Engelhardt, G. Smith2018 · 75 citationsarXiv
On the Hausdorff dimension of a 2-dimensional Weierstrass curve1806.09585v2 · Peter Imkeller, Goncalo dos Reis2018 · 2 citationsarXiv
An unbiased Ito type stochastic representation for transport PDEs: A Toy Example1804.03563v3 · Goncalo dos Reis, Greig Smith2018 · 0 citationsarXiv
Importance sampling for McKean-Vlasov SDEs1803.09320v2 · Goncalo dos Reis, Greig Smith, Peter Tankov2018 · 19 citationsarXiv
Differentiability of SDEs with drifts of super-linear growth1803.06947v2 · Peter Imkeller, Goncalo dos Reis, William Salkeld2018 · 2 citationsarXiv
Hybrid PDE solver for data-driven problems and modern branching1705.03666v1 · Francisco Bernal, Goncalo dos Reis, Greig Smith2017 · 9 citationsarXiv
Robust and Consistent Estimation of Generators in Credit Risk1702.08867v2 · Greig Smith, Goncalo dos Reis2017 · 16 citationsarXiv
Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth1607.06733v1 · Arnaud Lionnet, Goncalo dos Reis, Lukasz Szpruch2016 · 10 citationsarXiv
Equilibrium pricing under relative performance concerns1511.04218v3 · Jana Bielagk, Arnaud Lionnet, Goncalo Dos Reis2015 · 16 citationsarXiv
Time discretization of FBSDE with polynomial growth drivers and reaction-diffusion PDEs1309.2865v3 · Arnaud Lionnet, Goncalo dos Reis, Lukasz Szpruch2013 · 32 citationsAnnals of Applied Probability 2015, Vol. 25, No. 5, 2563-2625on Valency
A note on comonotonicity and positivity of the control components of decoupled quadratic FBSDE1301.4370v1 · Goncalo Dos Reis, Ricardo J.N. dos Reis2013 · 7 citationsarXiv
Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs1301.3798v4 · Paul Gassiat, Harald Oberhauser, Goncalo dos Reis2013 · 28 citationsarXiv
Quadratic FBSDE with generalized Burgers' type nonlinearities, perturbations and large deviations1205.3581v1 · Christoph Frei, Goncalo Dos Reis2012 · 9 citationsarXiv
FBSDE with time delayed generators: Lp-solutions, differentiability, representation formulas and path regularity1008.1149v2 · Goncalo dos Reis, Anthony R'eveillac, Jianing Zhang2010 · 2 citationsarXiv
Results on numerics for FBSDE with drivers of quadratic growth1004.2248v1 · Peter Imkeller, Goncalo dos Reis, Jianing Zhang2010 · 24 citationsarXiv
Path regularity and explicit convergence rate for BSDE with truncated quadratic growth0905.0788v3 · Peter Imkeller, Goncalo dos Reis2009 · 64 citationsStochastic Processes and Their Applications, 2010, 120, 348-379
Pricing and hedging of derivatives based on non-tradable underlyings0712.3746v1 · Stefan Ankirchner, Peter Imkeller, Goncalo dos Reis2007 · 45 citationsMathematical Finance, 2010, 20, 289 - 312on Valency
Classical and Variational Differentiability of BSDEs with quadratic growthmath/0701875v4 · Stefan Ankirchner, Peter Imkeller, Goncalo Dos Reis2007 · 59 citationsElectron. J. Probab., 2007, 12, 1418-1453 (electronic)
Career total: 81 works. 50 are in this corpus.
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