Michael V. Tretyakov

Publication Activity (10 Years)

Years Active: 1997-2024
Publications (10 Years): 10

Top Topics

Probability Density

Boundary Value Problem

Mixture Distributions

Top Venues

SIAM/ASA J. Uncertain. Quantification

SIAM J. Numer. Anal.

J. Comput. Appl. Math.

Publications

Ben Leimkuhler, Akash Sharma, Michael V. Tretyakov
Numerical integrators for confined Langevin dynamics. CoRR (2024)
Michael V. Tretyakov
Sampling from mixture distributions based on regime-switching diffusions. CoRR (2024)
Karthik Bharath, Alexander Lewis, Akash Sharma, Michael V. Tretyakov
Sampling and estimation on manifolds using the Langevin diffusion. CoRR (2023)
D. Kalise, A. Sharma, Michael V. Tretyakov
Consensus based optimization via jump-diffusion stochastic differential equations. CoRR (2022)
P. D. Hinds, Michael V. Tretyakov
Neural variance reduction for stochastic differential equations. CoRR (2022)
Haozhe Su, Michael V. Tretyakov, David P. Newton
Option Valuation through Deep Learning of Transition Probability Density. CoRR (2021)
Benedict J. Leimkuhler, A. Sharma, Michael V. Tretyakov
Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions. CoRR (2020)
George Deligiannidis, S. Maurer, Michael V. Tretyakov
Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation. CoRR (2020)
M. Park, Michael V. Tretyakov
Stochastic Resin Transfer Molding Process. SIAM/ASA J. Uncertain. Quantification 5 (1) (2017)
G. N. Milstein, Michael V. Tretyakov
Layer methods for stochastic Navier-Stokes equations using simplest characteristics. J. Comput. Appl. Math. 302 (2016)
Zhongqiang Zhang, Michael V. Tretyakov, Boris Rozovskii, George E. Karniadakis
Wiener Chaos Versus Stochastic Collocation Methods for Linear Advection-Diffusion-Reaction Equations with Multiplicative White Noise. SIAM J. Numer. Anal. 53 (1) (2015)
Zhongqiang Zhang, Michael V. Tretyakov, Boris Rozovskii, George E. Karniadakis
A Recursive Sparse Grid Collocation Method for Differential Equations with White Noise. SIAM J. Sci. Comput. 36 (4) (2014)
Michael V. Tretyakov, Zhongqiang Zhang
A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications. SIAM J. Numer. Anal. 51 (6) (2013)
Zhongqiang Zhang, Boris Rozovskii, Michael V. Tretyakov, George E. Karniadakis
A Multistage Wiener Chaos Expansion Method for Stochastic Advection-Diffusion-Reaction Equations. SIAM J. Sci. Comput. 34 (2) (2012)
Jonathan C. Mattingly, Andrew M. Stuart, Michael V. Tretyakov
Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations. SIAM J. Numer. Anal. 48 (2) (2010)
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)