Michael V. Tretyakov

Orcid: 0000-0002-7929-9046

Affiliations:
  • University of Leicester, UK


According to our database1, Michael V. Tretyakov authored at least 23 papers between 1997 and 2024.

Collaborative distances:
  • Dijkstra number2 of five.
  • Erdős number3 of four.

Timeline

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Bibliography

2024
Sampling from mixture distributions based on regime-switching diffusions.
CoRR, 2024

Numerical integrators for confined Langevin dynamics.
CoRR, 2024

2023
Sampling and estimation on manifolds using the Langevin diffusion.
CoRR, 2023

2022
Neural variance reduction for stochastic differential equations.
CoRR, 2022

Consensus based optimization via jump-diffusion stochastic differential equations.
CoRR, 2022

2021
Option Valuation through Deep Learning of Transition Probability Density.
CoRR, 2021

2020
Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions.
CoRR, 2020

Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation.
CoRR, 2020

2017
Stochastic Resin Transfer Molding Process.
SIAM/ASA J. Uncertain. Quantification, 2017

2016
Layer methods for stochastic Navier-Stokes equations using simplest characteristics.
J. Comput. Appl. Math., 2016

2015
Wiener Chaos Versus Stochastic Collocation Methods for Linear Advection-Diffusion-Reaction Equations with Multiplicative White Noise.
SIAM J. Numer. Anal., 2015

2014
A Recursive Sparse Grid Collocation Method for Differential Equations with White Noise.
SIAM J. Sci. Comput., 2014

2013
A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications.
SIAM J. Numer. Anal., 2013

2012
A Multistage Wiener Chaos Expansion Method for Stochastic Advection-Diffusion-Reaction Equations.
SIAM J. Sci. Comput., 2012

2010
Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations.
SIAM J. Numer. Anal., 2010

2009
Practical Variance Reduction via Regression for Simulating Diffusions.
SIAM J. Numer. Anal., 2009

Solving parabolic stochastic partial differential equations via averaging over characteristics.
Math. Comput., 2009

2006
Numerical Algorithms for Forward-Backward Stochastic Differential Equations.
SIAM J. Sci. Comput., 2006

2005
Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients.
SIAM J. Numer. Anal., 2005

2002
Symplectic Integration of Hamiltonian Systems with Additive Noise.
SIAM J. Numer. Anal., 2002

Numerical Methods for Stochastic Systems Preserving Symplectic Structure.
SIAM J. Numer. Anal., 2002

2000
Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations.
Math. Comput., 2000

1997
Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises.
SIAM J. Sci. Comput., 1997


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