G. N. Milstein - researchr alias

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Viewing Publication 1 - 10 from 10

2016

Layer methods for stochastic Navier-Stokes equations using simplest characteristicsG. N. Milstein, Michael V. Tretyakov. jcam, 302:1-23, 2016. [doi]

2014

Construction of Mean-Self-Financing Strategies for European Options under Regime-SwitchingG. N. Milstein, V. Spokoiny. siamfm, 5(1):532-556, 2014. [doi]

2009

Practical Variance Reduction via Regression for Simulating DiffusionsG. N. Milstein, M. V. Tretyakov. siamnum, 47(2):887-910, 2009. [doi]

Solving parabolic stochastic partial differential equations via averaging over characteristicsG. N. Milstein, M. V. Tretyakov. moc, 78(268):2075-2106, 2009. [doi]

2006

Numerical Algorithms for Forward-Backward Stochastic Differential EquationsG. N. Milstein, M. V. Tretyakov. siamsc, 28(2):561-582, 2006. [doi]

2005

Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz CoefficientsG. N. Milstein, M. V. Tretyakov. siamnum, 43(3):1139-1154, 2005. [doi]

2002

Numerical Methods for Stochastic Systems Preserving Symplectic StructureG. N. Milstein, Yu. M. Repin, M. V. Tretyakov. siamnum, 40(4):1583-1604, 2002. [doi]

Symplectic Integration of Hamiltonian Systems with Additive NoiseG. N. Milstein, Yu. M. Repin, M. V. Tretyakov. siamnum, 39(6):2066-2088, 2002. [doi]

2000

Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equationsG. N. Milstein, M. V. Tretyakov. moc, 69(229):237-267, 2000.

1997

Mean-Square Numerical Methods for Stochastic Differential Equations with Small NoisesG. N. Milstein, Michael V. Tretyakov. siamsc, 18(4):1067-1087, 1997. [doi]

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