Edinburgh Research Explorer
  1. 2019
  2. The Skorokhod embedding problem for inhomogeneous diffusions

    Ankirchner, S., Engelhardt, S., Fromm, A. & Reis, G. D., 12 Jun 2019, (Accepted/In press) In : Annales de l institut henri poincare-Probabilites et statistiques. 39 p.

    Research output: Contribution to journalArticle

  3. Freidlin-Wentzell LDPs in path space for McKean-Vlasov equations and the Functional Iterated Logarithm Law

    Dos Reis, G., Salkeld, W. & Tugaut, J., 19 Feb 2019, In : Annals of Applied Probability. 29, 3, p. 1487-1540 41 p.

    Research output: Contribution to journalArticle

  4. Differentiability of SDEs with drifts of super-linear growth

    Imkeller, P., Reis, G. D. & Salkeld, W., 8 Feb 2019, In : Electronic journal of probability. 24, 43 p., 3.

    Research output: Contribution to journalArticle

  5. 2018
  6. Robust and Consistent Estimation of Generators in Credit Risk

    Dos Reis, G. & Smith, G., Jun 2018, In : Quantitative Finance. 18, 6, p. 983-1001 30 p.

    Research output: Contribution to journalArticle

  7. Importance sampling for McKean-Vlasov SDEs

    Reis, G. D., Smith, G. & Tankov, P., 25 Mar 2018, (In preparation) ArXiv, 28 p.

    Research output: Working paper

  8. Convergence and qualitative properties of modified explicit schemes for BSDEs with polynomial growth

    Lionnet, A., Reis, G. D. & Szpruch, L., 2018, In : Annals of Applied Probability. 28, 4, p. 2544-2591 48 p.

    Research output: Contribution to journalArticle

  9. 2017
  10. Hybrid PDE solver for data-driven problems and modern Branching

    Dos Reis, G., Smith, G. & Bernal, F., Dec 2017, In : European Journal of Applied Mathematics. 28, 6, p. 949-972 23 p.

    Research output: Contribution to journalArticle

  11. Equilibrium pricing under relative performance concerns

    Bielagk, J., Lionnet, A. & Reis, G. D., 29 Jun 2017, In : SIAM Journal on Financial Mathematics. 8, p. 435-482 45 p.

    Research output: Contribution to journalArticle

  12. 2016
  13. Full-Projection scheme for monotone BSDEs with polynomial growth

    Lionnet, A., Dos Reis, G. & Szpruch, L., 30 Nov 2016, (In preparation) ArXiv, 18 p.

    Research output: Working paper

  14. 2015
  15. Root's barrier, viscosity solutions of obstacle problems and reflected FBSDEs

    Gassiat, P., Oberhauser, H. & Dos Reis, G., Dec 2015, In : Stochastic processes and their applications. 125, 12, p. 4601-4631 19 p.

    Research output: Contribution to journalArticle

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