Michael V. Tretyakov

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

Collaborative distances:

• Dijkstra number of five.
• Erdős number of four.

2024

Sampling from mixture distributions based on regime-switching diffusions.

Michael V. Tretyakov

CoRR, 2024

Numerical integrators for confined Langevin dynamics.

Ben Leimkuhler, Akash Sharma, Michael V. Tretyakov

CoRR, 2024

2023

Sampling and estimation on manifolds using the Langevin diffusion.

Karthik Bharath, Alexander Lewis, Akash Sharma, Michael V. Tretyakov

CoRR, 2023

2022

Neural variance reduction for stochastic differential equations.

P. D. Hinds, Michael V. Tretyakov

CoRR, 2022

Consensus based optimization via jump-diffusion stochastic differential equations.

Dante Kalise, Akash Sharma, Michael V. Tretyakov

CoRR, 2022

2021

Option Valuation through Deep Learning of Transition Probability Density.

Haozhe Su, Michael V. Tretyakov, David P. Newton

CoRR, 2021

2020

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

Benedict J. Leimkuhler, Akash Sharma, Michael V. Tretyakov

CoRR, 2020

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

George Deligiannidis, S. Maurer, Michael V. Tretyakov

CoRR, 2020

2017

Stochastic Resin Transfer Molding Process.

M. Park, Michael V. Tretyakov

SIAM/ASA J. Uncertain. Quantification, 2017

2016

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

G. N. Milstein, Michael V. Tretyakov

J. Comput. Appl. Math., 2016

2015

Wiener Chaos Versus Stochastic Collocation Methods for Linear Advection-Diffusion-Reaction Equations with Multiplicative White Noise.

Zhongqiang Zhang, Michael V. Tretyakov, Boris Rozovskii, George E. Karniadakis

SIAM J. Numer. Anal., 2015

2014

A Recursive Sparse Grid Collocation Method for Differential Equations with White Noise.

Zhongqiang Zhang, Michael V. Tretyakov, Boris Rozovskii, George E. Karniadakis

SIAM J. Sci. Comput., 2014

2013

A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications.

Michael V. Tretyakov, Zhongqiang Zhang

SIAM J. Numer. Anal., 2013

2012

A Multistage Wiener Chaos Expansion Method for Stochastic Advection-Diffusion-Reaction Equations.

Zhongqiang Zhang, Boris Rozovskii, Michael V. Tretyakov, George E. Karniadakis

SIAM J. Sci. Comput., 2012

2010

Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations.

Jonathan C. Mattingly, Andrew M. Stuart, Michael V. Tretyakov

SIAM J. Numer. Anal., 2010

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