G. N. Milstein

According to our database, G. N. Milstein authored at least 10 papers between 1997 and 2016.

Collaborative distances:

• Dijkstra number of six.
• Erdős number of five.

2016

Layer methods for stochastic Navier-Stokes equations using simplest characteristics.

G. N. Milstein, Michael V. Tretyakov

J. Comput. Appl. Math., 2016

2014

Construction of Mean-Self-Financing Strategies for European Options under Regime-Switching.

G. N. Milstein, Vladimir G. Spokoiny

SIAM J. Financial Math., 2014

2009

Practical Variance Reduction via Regression for Simulating Diffusions.

G. N. Milstein, Michael V. Tretyakov

SIAM J. Numer. Anal., 2009

Solving parabolic stochastic partial differential equations via averaging over characteristics.

G. N. Milstein, Michael V. Tretyakov

Math. Comput., 2009

2006

Numerical Algorithms for Forward-Backward Stochastic Differential Equations.

G. N. Milstein, Michael V. Tretyakov

SIAM J. Sci. Comput., 2006

2005

Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients.

G. N. Milstein, Michael V. Tretyakov

SIAM J. Numer. Anal., 2005

2002

Symplectic Integration of Hamiltonian Systems with Additive Noise.

G. N. Milstein, Yu. M. Repin, Michael V. Tretyakov

SIAM J. Numer. Anal., 2002

Numerical Methods for Stochastic Systems Preserving Symplectic Structure.

G. N. Milstein, Yu. M. Repin, Michael V. Tretyakov

SIAM J. Numer. Anal., 2002

2000

Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations.

G. N. Milstein, Michael V. Tretyakov

Math. Comput., 2000

1997

Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises.

G. N. Milstein, Michael V. Tretyakov

SIAM J. Sci. Comput., 1997