G. N. Milstein

Publication Activity (10 Years)

Years Active: 1997-2016
Publications (10 Years): 1

Top Topics

Search Strategies

Construction Process

Top Venues

J. Comput. Appl. Math.

SIAM J. Financial Math.

Publications

G. N. Milstein, Michael V. Tretyakov
Layer methods for stochastic Navier-Stokes equations using simplest characteristics. J. Comput. Appl. Math. 302 (2016)
G. N. Milstein, Vladimir G. Spokoiny
Construction of Mean-Self-Financing Strategies for European Options under Regime-Switching. SIAM J. Financial Math. 5 (1) (2014)
G. N. Milstein, Michael V. Tretyakov
Solving parabolic stochastic partial differential equations via averaging over characteristics. Math. Comput. 78 (268) (2009)
G. N. Milstein, Michael V. Tretyakov
Practical Variance Reduction via Regression for Simulating Diffusions. SIAM J. Numer. Anal. 47 (2) (2009)
G. N. Milstein, Michael V. Tretyakov
Numerical Algorithms for Forward-Backward Stochastic Differential Equations. SIAM J. Sci. Comput. 28 (2) (2006)
G. N. Milstein, Michael V. Tretyakov
Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients. SIAM J. Numer. Anal. 43 (3) (2005)
G. N. Milstein, Yu. M. Repin, Michael V. Tretyakov
Numerical Methods for Stochastic Systems Preserving Symplectic Structure. SIAM J. Numer. Anal. 40 (4) (2002)
G. N. Milstein, Yu. M. Repin, Michael V. Tretyakov
Symplectic Integration of Hamiltonian Systems with Additive Noise. SIAM J. Numer. Anal. 39 (6) (2002)
G. N. Milstein, Michael V. Tretyakov
Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations. Math. Comput. 69 (229) (2000)
G. N. Milstein, Michael V. Tretyakov
Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises. SIAM J. Sci. Comput. 18 (4) (1997)