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Milstein, Grigori N.

Author ID: milstein.grigori-n Recent zbMATH articles by "Milstein, Grigori N."
Published as: Milstein, G. N.; Mil’shtejn, G. N.; Milstein, Grigori N.; Mil’shtein, G. N.; Milstein, Grigori; Milshtein, G. N.; Mil’stejn, G. N.; Mil’shteĭn, G. N.
External Links: Math-Net.Ru
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Serials

11 Automation and Remote Control
9 Theory of Probability and its Applications
9 Differential Equations
7 Teoriya Veroyatnosteĭ i eë Primeneniya
7 Differentsial’nye Uravneniya
6 Journal of Applied Mathematics and Mechanics
6 SIAM Journal on Numerical Analysis
5 Stochastics and Dynamics
4 Advances in Applied Probability
4 IMA Journal of Numerical Analysis
4 Stochastics and Stochastics Reports
3 Izvestiya Vysshikh Uchebnykh Zavedeniĭ, Matematika
3 PMM, Journal of Applied Mathematics and Mechanics
2 Mathematics of Computation
2 Statistics & Probability Letters
2 Physica D
2 Random & Computational Dynamics
2 SIAM Journal on Scientific Computing
2 International Journal of Theoretical and Applied Finance
2 Matematicheskie Zapiski, Sverdlovsk
2 Scientific Computation
1 Journal of Computational Physics
1 Journal of Statistical Physics
1 Transport Theory and Statistical Physics
1 Zhurnal Vychislitel’noĭ Matematiki i Matematicheskoĭ Fiziki
1 BIT
1 Journal of Computational and Applied Mathematics
1 Mathematics and Computers in Simulation
1 Sibirskiĭ Matematicheskiĭ Zhurnal
1 Soviet Mathematics. Doklady
1 Stochastic Analysis and Applications
1 Probability Theory and Related Fields
1 Numerical Methods for Partial Differential Equations
1 The Annals of Applied Probability
1 Computational Mathematics and Mathematical Physics
1 Journal of Physics A: Mathematical and General
1 Problems of Control and Information Theory
1 Stochastic Processes and their Applications
1 U.S.S.R. Computational Mathematics and Mathematical Physics
1 Bernoulli
1 Markov Processes and Related Fields
1 Quantitative Finance
1 Decisions in Economics and Finance
1 Mathematics and its Applications (Dordrecht)
1 Stochastic Modelling and Applied Probability
1 Journal of Physics A: Mathematical and Theoretical
1 Numerical Mathematics: Theory, Methods and Applications
1 SIAM Journal on Financial Mathematics

Publications by Year

Citations contained in zbMATH Open

86 Publications have been cited 1,545 times in 1,042 Documents Cited by Year
Stochastic numerics for mathematical physics. Zbl 1085.60004
Milstein, Grigori N.; Tretyakov, Michael V.
301
2004
Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson. 2nd completely revised and enlarged ed. Zbl 1241.60002
Khasminskii, Rafail
249
2012
Numerical integration of stochastic differential equations. Transl. from the Russian. Zbl 0810.65144
Milstein, G. N.
157
1994
Balanced implicit methods for stiff stochastic systems. Zbl 0914.65143
Milstein, G. N.; Platen, E.; Schurz, H.
114
1998
Approximate integration of stochastic differential equations. Zbl 0314.60039
Mil’shtejn, G. N.
96
1974
Numerical methods for stochastic systems preserving symplectic structure. Zbl 1028.60064
Milstein, G. N.; Repin, Yu. M.; Tretyakov, M. V.
72
2002
Symplectic integration of Hamiltonian systems with additive noise. Zbl 1019.60056
Milstein, G. N.; Repin, Yu. M.; Tretyakov, M. V.
65
2002
Weak approximation of solutions of systems of stochastic differential equations. Zbl 0596.60060
Mil’shtejn, G. N.
54
1986
Numerical algorithms for forward-backward stochastic differential equations. Zbl 1114.60054
Milstein, G. N.; Tretyakov, M. V.
52
2006
A method of second-order accuracy integration of stochastic differential equations. Zbl 0422.60048
Mil’shtejn, G. N.
48
1979
Numerical integration of stochastic differential equations with nonglobally Lipschitz coefficients. Zbl 1102.60059
Milstein, G. N.; Tretyakov, M. V.
44
2005
Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations. Zbl 1059.65007
Milstein, G. N.; Tretyakov, M. V.
40
2004
A first approximation of the quasipotential in problems of the stability of systems with random nondegenerate perturbations. Zbl 0880.34059
Mil’shtejn, G. N.; Ryashko, L. B.
32
1995
Numerical integration of stochastic differential equations. (Chislennoe integrirovanie stokhasticheskikh differentsial’nykh uravnenij.) Zbl 0682.60045
Mil’shtejn, G. N.
29
1988
Simulation of a space-time bounded diffusion. Zbl 0964.60065
Milstein, G. N.; Tretyakov, M. V.
22
1999
Discretization of forward-backward stochastic differential equations and related quasi-linear parabolic equations. Zbl 1109.65009
Milstein, G. N.; Tretyakov, M. V.
21
2007
Mean-square numerical methods for stochastic differential equations with small noises. Zbl 0888.60047
Milstein, G. N.; Tret’yakov, M. V.
20
1997
Quasi-symplectic methods for Langevin-type equations. Zbl 1055.65141
Milstein, G. N.; Tretyakov, M. V.
20
2003
A theorem on the order of convergence of mean-square approximations of solutions of systems of stochastic differential equations. Zbl 0655.60046
Mil’shtein, G. N.
19
1987
Diffusion approximation for nonparametric autoregression. Zbl 1053.62556
Milstein, Grigori; Nussbaum, Michael
17
1998
Computing ergodic limits for Langevin equations. Zbl 1117.65012
Milstein, G. N.; Tretyakov, M. V.
16
2007
The solving of boundary value problems by numerical integration of stochastic equations. Zbl 0824.60059
Milshtein, G. N.
15
1995
The probability approach to numerical solution of nonlinear parabolic equations. Zbl 1014.65005
Milstein, G. N.
15
2002
Transition density estimation for stochastic differential equations via forward-reverse representations. Zbl 1085.62098
Milstein, Grigori N.; Schoenmakers, John G. M.; Spokoiny, Vladimir
15
2004
Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach. Zbl 0993.65014
Milstein, G. N.; Tretyakov, M. V.
14
2001
Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations. Zbl 0935.35062
Milstein, G. N.; Tretyakov, M. V.
13
2000
Numerical methods in the weak sense for stochastic differential equations with small noise. Zbl 0896.60028
Milstein, G. N.; Tret’yakov, M. V.
13
1997
Weak approximation of a diffusion process in a bounded domain. Zbl 0893.60032
Milstein, G. N.
10
1997
Monte Carlo construction of hedging strategies against multi-asset European claims. Zbl 1005.60079
Milstein, G. N.; Schoenmakers, J. G. M.
9
2002
Asymptotic expansions of the Lyapunov index for linear stochastic systems with small noise. Zbl 0522.34053
Auslender, E. I.; Mil’stejn, G. N.
9
1982
Solving parabolic stochastic partial differential equations via averaging over characteristics. Zbl 1198.65033
Milstein, G. N.; Tretyakov, M. V.
9
2009
On estimation of the linearized drift for nonlinear stochastic differential equations. Zbl 1064.62092
Khasminskii, R.; Milstein, G. N.
9
2001
Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions. Zbl 1280.35097
Milstein, G. N.; Tretyakov, M. V.
8
2013
Practical variance reduction via regression for simulating diffusions. Zbl 1190.65011
Milstein, G. N.; Tretyakov, M. V.
8
2009
Regression methods in pricing American and Bermudan options using consumption processes. Zbl 1169.91338
Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir
8
2009
Stochastic numerics for mathematical physics. 2nd edition. Zbl 1493.60002
Milstein, Grigori N.; Tretyakov, Michael V.
8
2021
Application of the numerical integration of stochastic equations to solving boundary-value problems with Neumann’s boundary conditions. Zbl 0888.60050
Mil’shtejn, G. N.
7
1996
Monte Carlo evaluation of American options using consumption processes. Zbl 1184.91209
Belomestny, Denis; Milstein, Grigori N.
7
2006
An optimal estimate of the interval on which a multipoint boundary-value problem possesses a solution. Zbl 0323.34014
Melentsova, Yu. A.; Mil’shtejn, G. N.
7
1976
Solving the Dirichlet problem for Navier-Stokes equations by probabilistic approach. Zbl 1387.35460
Milstein, G. N.; Tretyakov, M. V.
7
2012
Optimal estimation of the nonoscillation interval for linear differential equations with bounded coefficients. Zbl 0527.34030
Melentsova, Yu. A.; Mil’shtejn, G. N.
6
1982
Numerical solution of differential equations with colored noise. Zbl 0839.60058
Milshtein, G. N.; Tret’yakov, M. V.
6
1994
Stability and stabilization of periodic motions of autonomous systems. Zbl 0413.70010
Mil’shtein, G. N.
6
1978
The simplest random walks for the Dirichlet problem. Zbl 1038.60066
Mil’shtejn, G. N.; Tretyakov, M. V.
5
2002
A probabilistic approach to the solution of the Neumann problem for nonlinear parabolic equations. Zbl 1018.65006
Milstein, G. N.; Tretyakov, M. V.
4
2002
Uniform approximation of the Cox-Ingersoll-Ross process via exact simulation at random times. Zbl 1362.65016
Milstein, Grigori N.; Schoenmakers, John
4
2016
Uniform approximation of the Cox-Ingersoll-Ross process. Zbl 1335.65011
Milstein, Grigori N.; Schoenmakers, John
4
2015
On the mean-square approximation of a diffusion process in a bounded domain. Zbl 1043.60518
Milstein, G. N.
4
1998
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John
4
2010
Optimal stabilization of linear stochastic systems. Zbl 0359.93040
Mil’shtejn, G. N.; Ryashko, L. B.
4
1976
An approximation method for Navier-Stokes equations based on probabilistic approach. Zbl 1116.76332
Belopolskaya, Ya.; Milstein, G. N.
4
2003
Solution of the first boundary-value problem for parabolic equations by integration of stochastic differential equations. Zbl 0859.60055
Milstein, G. N.
3
1993
Design of a stabilizing controller with incomplete state data for linear stochastic systems with multiplicative noise. Zbl 0517.93060
Mil’shtejn, G. N.
3
1982
An algorithm for random walks over small ellipsoids for solving the general Dirichlet problem. Zbl 0795.60073
Mil’shtejn, G. N.; Rybkina, N. F.
3
1993
Runge-Kutta method for computing Wiener integrals of functionals of exponential type. Zbl 0552.65017
Gladyshev, S. A.; Mil’shtejn, G. N.
3
1984
Layer methods for stochastic Navier-Stokes equations using simplest characteristics. Zbl 1334.65016
Milstein, G. N.; Tretyakov, M. V.
3
2016
Orbital stability index for stochastic systems. Zbl 0970.60067
Milstein, G. N.
3
2000
A method of second order accuracy for integrating stochastic differential equations. Zbl 0391.60060
Mil’shtejn, G. N.
3
1978
Monte Carlo methods for backward equations in nonlinear filtering. Zbl 1159.93359
Milstein, G. N.; Tretyakov, M. V.
3
2009
A new Monte Carlo method for American options. Zbl 1121.91367
Milstein, G. N.; Reiß, O.; Schoenmakers, J.
3
2004
Forward and reverse representations for Markov chains. Zbl 1116.62083
Milstein, G. N.; Schoenmakers, J. G. M.; Spokoiny, V.
3
2007
Weak approximation of the solutions of systems of stochastic differential equations. Zbl 0579.60047
Mil’shtejn, G. N.
2
1985
Piecewise constant approximation for the Monte Carlo calculation of Wiener integrals. Zbl 0595.65024
Venttsel’, A. D.; Gladyshev, S. A.; Mil’shtejn, G. N.
2
1985
Theorem on the order of convergence for mean-square approximations of solutions of stochastic differential equations. Zbl 0633.60081
Mil’shtejn, G. N.
2
1987
Moment Lyapunov exponent for conservative systems with small periodic and random perturbations. Zbl 1023.60053
Imkeller, P.; Milstein, G. N.
2
2002
Piecewise constant approximation for the Monte Carlo computation of Wiener integrals. Zbl 0582.65016
Venttsel’, A. D.; Gladyshev, S. A.; Mil’shtejn, G. N.
2
1984
Evaluation of moment Lyapunov exponents for second order stochastic systems. Zbl 1002.60548
Milstein, G. N.
2
1996
Stability and stabilization of autonomous system orbits under stochastic perturbations. Zbl 0793.34044
Mil’shtejn, G. N.; Ryashko, L. B.
2
1992
On an probabilistic solution of linear systems of elliptic and parabolic equations. Zbl 0406.60053
Mil’shtejn, G. N.
2
1978
On optimal estimation of the interval of non-oscillation for linear differential equations with bounded coefficients. Zbl 0484.34021
Melentsova, Yu. A.; Mil’shtejn, G. N.
2
1981
Action of a Markov process on a system of differential equations. Zbl 0256.60036
Mil’shtejn, G. N.; Repin, Yu. M.
2
1972
Reduction of a class of optimum control problems to the simplest variational problem. Zbl 0151.13202
Mil’shtein, G. N.
2
1964
Mean velocity of noise-induced transport in the limit of weak periodic forcing. Zbl 0962.82066
Milstein, G. N.; Tretyakov, M. V.
1
1999
Numerical analysis of noise-induced regular oscillations. Zbl 0959.60058
Milstein, G. N.; Tretyakov, M. V.
1
2000
The simulation of phase trajectories of a diffusion process in a bounded domain. Zbl 0888.60048
Milstein, G. N.
1
1996
Nonlinear filtering algorithms based on averaging over characteristics and on the innovation approach. Zbl 1223.93116
Milstein, G. N.; Tretyakov, M. V.
1
2011
Estimation in controlled stochastic systems with multiplicative noise. Zbl 0549.93055
Mil’shtejn, G. N.; Ryashko, L. B.
1
1984
Superdiffusion of a random walk driven by an ergodic Markov process with switching. Zbl 1153.82008
Fedotov, S.; Milstein, G. N.; Tretyakov, M. V.
1
2007
Mean square stability of linear systems under the action of a Markov chain. Zbl 0261.93044
Mil’shtejn, G. N.
1
1972
Interaction of Markov processes. Zbl 0268.60091
Mil’shtejn, G. N.
1
1972
Optimale Abschätzung des Lösbarkeitsintervalls eines Mehrpunkt- Randwertproblems. Zbl 0314.34028
Melentsova, Yu. A.; Mil’shtejn, G. N.
1
1974
Successive approximations for solution of one optimal problem. Zbl 0133.36602
Mil’shtejn, G. N.
1
1964
Über die Minimierung eines konvexen Funktionals durch freie Trajektorien eines linearen Systems. Zbl 0155.42705
Zhiteneva, Yu. A.; Mil’shtejn, G. N.
1
1967
On the problem of analytic construction of regulators for equations of parabolic and hyperbolic type. (Zum Problem des analytischen Konstruierens von Reglern für Gleichungen von parabolischem und hyperbolischem Typ.) Zbl 0236.49009
Mil’shteĭn, G. N.
1
1972
Über die Einwirkung eines Markovschen Prozesses auf ein System von Differentialgleichungen. Zbl 0175.16704
Mil’shtejn, G. N.; Repin, Yu. M.
1
1969
Stability in the mean square of a system of stochastic differential equations. Zbl 0217.40403
Mil’shtejn, G. N.; Repin, Yu. M.
1
1967
Stochastic numerics for mathematical physics. 2nd edition. Zbl 1493.60002
Milstein, Grigori N.; Tretyakov, Michael V.
8
2021
Uniform approximation of the Cox-Ingersoll-Ross process via exact simulation at random times. Zbl 1362.65016
Milstein, Grigori N.; Schoenmakers, John
4
2016
Layer methods for stochastic Navier-Stokes equations using simplest characteristics. Zbl 1334.65016
Milstein, G. N.; Tretyakov, M. V.
3
2016
Uniform approximation of the Cox-Ingersoll-Ross process. Zbl 1335.65011
Milstein, Grigori N.; Schoenmakers, John
4
2015
Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions. Zbl 1280.35097
Milstein, G. N.; Tretyakov, M. V.
8
2013
Stochastic stability of differential equations. With contributions by G. N. Milstein and M. B. Nevelson. 2nd completely revised and enlarged ed. Zbl 1241.60002
Khasminskii, Rafail
249
2012
Solving the Dirichlet problem for Navier-Stokes equations by probabilistic approach. Zbl 1387.35460
Milstein, G. N.; Tretyakov, M. V.
7
2012
Nonlinear filtering algorithms based on averaging over characteristics and on the innovation approach. Zbl 1223.93116
Milstein, G. N.; Tretyakov, M. V.
1
2011
Sensitivities for Bermudan options by regression methods. Zbl 1198.91202
Belomestny, Denis; Milstein, G. N.; Schoenmakers, John
4
2010
Solving parabolic stochastic partial differential equations via averaging over characteristics. Zbl 1198.65033
Milstein, G. N.; Tretyakov, M. V.
9
2009
Practical variance reduction via regression for simulating diffusions. Zbl 1190.65011
Milstein, G. N.; Tretyakov, M. V.
8
2009
Regression methods in pricing American and Bermudan options using consumption processes. Zbl 1169.91338
Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir
8
2009
Monte Carlo methods for backward equations in nonlinear filtering. Zbl 1159.93359
Milstein, G. N.; Tretyakov, M. V.
3
2009
Discretization of forward-backward stochastic differential equations and related quasi-linear parabolic equations. Zbl 1109.65009
Milstein, G. N.; Tretyakov, M. V.
21
2007
Computing ergodic limits for Langevin equations. Zbl 1117.65012
Milstein, G. N.; Tretyakov, M. V.
16
2007
Forward and reverse representations for Markov chains. Zbl 1116.62083
Milstein, G. N.; Schoenmakers, J. G. M.; Spokoiny, V.
3
2007
Superdiffusion of a random walk driven by an ergodic Markov process with switching. Zbl 1153.82008
Fedotov, S.; Milstein, G. N.; Tretyakov, M. V.
1
2007
Numerical algorithms for forward-backward stochastic differential equations. Zbl 1114.60054
Milstein, G. N.; Tretyakov, M. V.
52
2006
Monte Carlo evaluation of American options using consumption processes. Zbl 1184.91209
Belomestny, Denis; Milstein, Grigori N.
7
2006
Numerical integration of stochastic differential equations with nonglobally Lipschitz coefficients. Zbl 1102.60059
Milstein, G. N.; Tretyakov, M. V.
44
2005
Stochastic numerics for mathematical physics. Zbl 1085.60004
Milstein, Grigori N.; Tretyakov, Michael V.
301
2004
Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations. Zbl 1059.65007
Milstein, G. N.; Tretyakov, M. V.
40
2004
Transition density estimation for stochastic differential equations via forward-reverse representations. Zbl 1085.62098
Milstein, Grigori N.; Schoenmakers, John G. M.; Spokoiny, Vladimir
15
2004
A new Monte Carlo method for American options. Zbl 1121.91367
Milstein, G. N.; Reiß, O.; Schoenmakers, J.
3
2004
Quasi-symplectic methods for Langevin-type equations. Zbl 1055.65141
Milstein, G. N.; Tretyakov, M. V.
20
2003
An approximation method for Navier-Stokes equations based on probabilistic approach. Zbl 1116.76332
Belopolskaya, Ya.; Milstein, G. N.
4
2003
Numerical methods for stochastic systems preserving symplectic structure. Zbl 1028.60064
Milstein, G. N.; Repin, Yu. M.; Tretyakov, M. V.
72
2002
Symplectic integration of Hamiltonian systems with additive noise. Zbl 1019.60056
Milstein, G. N.; Repin, Yu. M.; Tretyakov, M. V.
65
2002
The probability approach to numerical solution of nonlinear parabolic equations. Zbl 1014.65005
Milstein, G. N.
15
2002
Monte Carlo construction of hedging strategies against multi-asset European claims. Zbl 1005.60079
Milstein, G. N.; Schoenmakers, J. G. M.
9
2002
The simplest random walks for the Dirichlet problem. Zbl 1038.60066
Mil’shtejn, G. N.; Tretyakov, M. V.
5
2002
A probabilistic approach to the solution of the Neumann problem for nonlinear parabolic equations. Zbl 1018.65006
Milstein, G. N.; Tretyakov, M. V.
4
2002
Moment Lyapunov exponent for conservative systems with small periodic and random perturbations. Zbl 1023.60053
Imkeller, P.; Milstein, G. N.
2
2002
Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach. Zbl 0993.65014
Milstein, G. N.; Tretyakov, M. V.
14
2001
On estimation of the linearized drift for nonlinear stochastic differential equations. Zbl 1064.62092
Khasminskii, R.; Milstein, G. N.
9
2001
Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations. Zbl 0935.35062
Milstein, G. N.; Tretyakov, M. V.
13
2000
Orbital stability index for stochastic systems. Zbl 0970.60067
Milstein, G. N.
3
2000
Numerical analysis of noise-induced regular oscillations. Zbl 0959.60058
Milstein, G. N.; Tretyakov, M. V.
1
2000
Simulation of a space-time bounded diffusion. Zbl 0964.60065
Milstein, G. N.; Tretyakov, M. V.
22
1999
Mean velocity of noise-induced transport in the limit of weak periodic forcing. Zbl 0962.82066
Milstein, G. N.; Tretyakov, M. V.
1
1999
Balanced implicit methods for stiff stochastic systems. Zbl 0914.65143
Milstein, G. N.; Platen, E.; Schurz, H.
114
1998
Diffusion approximation for nonparametric autoregression. Zbl 1053.62556
Milstein, Grigori; Nussbaum, Michael
17
1998
On the mean-square approximation of a diffusion process in a bounded domain. Zbl 1043.60518
Milstein, G. N.
4
1998
Mean-square numerical methods for stochastic differential equations with small noises. Zbl 0888.60047
Milstein, G. N.; Tret’yakov, M. V.
20
1997
Numerical methods in the weak sense for stochastic differential equations with small noise. Zbl 0896.60028
Milstein, G. N.; Tret’yakov, M. V.
13
1997
Weak approximation of a diffusion process in a bounded domain. Zbl 0893.60032
Milstein, G. N.
10
1997
Application of the numerical integration of stochastic equations to solving boundary-value problems with Neumann’s boundary conditions. Zbl 0888.60050
Mil’shtejn, G. N.
7
1996
Evaluation of moment Lyapunov exponents for second order stochastic systems. Zbl 1002.60548
Milstein, G. N.
2
1996
The simulation of phase trajectories of a diffusion process in a bounded domain. Zbl 0888.60048
Milstein, G. N.
1
1996
A first approximation of the quasipotential in problems of the stability of systems with random nondegenerate perturbations. Zbl 0880.34059
Mil’shtejn, G. N.; Ryashko, L. B.
32
1995
The solving of boundary value problems by numerical integration of stochastic equations. Zbl 0824.60059
Milshtein, G. N.
15
1995
Numerical integration of stochastic differential equations. Transl. from the Russian. Zbl 0810.65144
Milstein, G. N.
157
1994
Numerical solution of differential equations with colored noise. Zbl 0839.60058
Milshtein, G. N.; Tret’yakov, M. V.
6
1994
Solution of the first boundary-value problem for parabolic equations by integration of stochastic differential equations. Zbl 0859.60055
Milstein, G. N.
3
1993
An algorithm for random walks over small ellipsoids for solving the general Dirichlet problem. Zbl 0795.60073
Mil’shtejn, G. N.; Rybkina, N. F.
3
1993
Stability and stabilization of autonomous system orbits under stochastic perturbations. Zbl 0793.34044
Mil’shtejn, G. N.; Ryashko, L. B.
2
1992
Numerical integration of stochastic differential equations. (Chislennoe integrirovanie stokhasticheskikh differentsial’nykh uravnenij.) Zbl 0682.60045
Mil’shtejn, G. N.
29
1988
A theorem on the order of convergence of mean-square approximations of solutions of systems of stochastic differential equations. Zbl 0655.60046
Mil’shtein, G. N.
19
1987
Theorem on the order of convergence for mean-square approximations of solutions of stochastic differential equations. Zbl 0633.60081
Mil’shtejn, G. N.
2
1987
Weak approximation of solutions of systems of stochastic differential equations. Zbl 0596.60060
Mil’shtejn, G. N.
54
1986
Weak approximation of the solutions of systems of stochastic differential equations. Zbl 0579.60047
Mil’shtejn, G. N.
2
1985
Piecewise constant approximation for the Monte Carlo calculation of Wiener integrals. Zbl 0595.65024
Venttsel’, A. D.; Gladyshev, S. A.; Mil’shtejn, G. N.
2
1985
Runge-Kutta method for computing Wiener integrals of functionals of exponential type. Zbl 0552.65017
Gladyshev, S. A.; Mil’shtejn, G. N.
3
1984
Piecewise constant approximation for the Monte Carlo computation of Wiener integrals. Zbl 0582.65016
Venttsel’, A. D.; Gladyshev, S. A.; Mil’shtejn, G. N.
2
1984
Estimation in controlled stochastic systems with multiplicative noise. Zbl 0549.93055
Mil’shtejn, G. N.; Ryashko, L. B.
1
1984
Asymptotic expansions of the Lyapunov index for linear stochastic systems with small noise. Zbl 0522.34053
Auslender, E. I.; Mil’stejn, G. N.
9
1982
Optimal estimation of the nonoscillation interval for linear differential equations with bounded coefficients. Zbl 0527.34030
Melentsova, Yu. A.; Mil’shtejn, G. N.
6
1982
Design of a stabilizing controller with incomplete state data for linear stochastic systems with multiplicative noise. Zbl 0517.93060
Mil’shtejn, G. N.
3
1982
On optimal estimation of the interval of non-oscillation for linear differential equations with bounded coefficients. Zbl 0484.34021
Melentsova, Yu. A.; Mil’shtejn, G. N.
2
1981
A method of second-order accuracy integration of stochastic differential equations. Zbl 0422.60048
Mil’shtejn, G. N.
48
1979
Stability and stabilization of periodic motions of autonomous systems. Zbl 0413.70010
Mil’shtein, G. N.
6
1978
A method of second order accuracy for integrating stochastic differential equations. Zbl 0391.60060
Mil’shtejn, G. N.
3
1978
On an probabilistic solution of linear systems of elliptic and parabolic equations. Zbl 0406.60053
Mil’shtejn, G. N.
2
1978
An optimal estimate of the interval on which a multipoint boundary-value problem possesses a solution. Zbl 0323.34014
Melentsova, Yu. A.; Mil’shtejn, G. N.
7
1976
Optimal stabilization of linear stochastic systems. Zbl 0359.93040
Mil’shtejn, G. N.; Ryashko, L. B.
4
1976
Approximate integration of stochastic differential equations. Zbl 0314.60039
Mil’shtejn, G. N.
96
1974
Optimale Abschätzung des Lösbarkeitsintervalls eines Mehrpunkt- Randwertproblems. Zbl 0314.34028
Melentsova, Yu. A.; Mil’shtejn, G. N.
1
1974
Action of a Markov process on a system of differential equations. Zbl 0256.60036
Mil’shtejn, G. N.; Repin, Yu. M.
2
1972
Mean square stability of linear systems under the action of a Markov chain. Zbl 0261.93044
Mil’shtejn, G. N.
1
1972
Interaction of Markov processes. Zbl 0268.60091
Mil’shtejn, G. N.
1
1972
On the problem of analytic construction of regulators for equations of parabolic and hyperbolic type. (Zum Problem des analytischen Konstruierens von Reglern für Gleichungen von parabolischem und hyperbolischem Typ.) Zbl 0236.49009
Mil’shteĭn, G. N.
1
1972
Über die Einwirkung eines Markovschen Prozesses auf ein System von Differentialgleichungen. Zbl 0175.16704
Mil’shtejn, G. N.; Repin, Yu. M.
1
1969
Über die Minimierung eines konvexen Funktionals durch freie Trajektorien eines linearen Systems. Zbl 0155.42705
Zhiteneva, Yu. A.; Mil’shtejn, G. N.
1
1967
Stability in the mean square of a system of stochastic differential equations. Zbl 0217.40403
Mil’shtejn, G. N.; Repin, Yu. M.
1
1967
Reduction of a class of optimum control problems to the simplest variational problem. Zbl 0151.13202
Mil’shtein, G. N.
2
1964
Successive approximations for solution of one optimal problem. Zbl 0133.36602
Mil’shtejn, G. N.
1
1964
all top 5

Cited by 1,250 Authors

29 Milstein, Grigori N.
22 Ryashko, Lev Borisovich
21 Mao, Xuerong
20 Gan, Siqing
20 Hong, Jialin
19 Bashkirtseva, Irina Adol’fovna
19 Zhao, Weidong
18 Buckwar, Evelyn
17 Kuznetsov, Dmitriĭ Feliksovich
16 Jentzen, Arnulf
15 Kloeden, Peter Eris
15 Schoenmakers, John G. M.
15 Tretyakov, Michael V.
14 Burrage, Kevin
13 Platen, Eckhard
13 Rößler, Andreas
12 Ding, Xiaohua
11 Belomestny, Denis
11 Wang, Lijin
11 Wang, Xiaojie
10 Bréhier, Charles-Edouard
10 Cao, Wanrong
10 Debrabant, Kristian
10 Hosseini, Seyed Mohammad
10 Jimenez, Juan Carlos
10 Ma, Qiang
9 D’Ambrosio, Raffaele
9 Hofmann, Norbert
9 Hutzenthaler, Martin
9 Lejay, Antoine
8 Abdulle, Assyr
8 Cao, Yanzhao
8 Komori, Yoshio
8 Liu, Mingzhu
8 Liu, Wei
8 Rybakov, Konstantin Aleksandrovich
8 Szpruch, Lukasz
8 Zhang, Qimin
8 Zhou, Tao
7 Acebrón, Juan A.
7 Sabelfeld, Karl Karlovich
7 Stoltz, Gabriel
7 Urusov, Mikhail A.
7 Vilmart, Gilles
7 Winkler, Renate
6 Di Giovacchino, Stefano
6 Fan, Zhencheng
6 Haghighi, Amir
6 Huang, Chengming
6 Müller-Gronbach, Thomas
6 Neuenkirch, Andreas
6 Rathinasamy, Anandaraman
6 Shardlow, Tony
6 Sun, Liying
6 Sun, Yabing
6 Talay, Denis
6 Wang, Peng
6 Wang, Xu
6 Xiao, Aiguo
6 Zhang, Chiping
5 Bayer, Christian
5 Bender, Christian
5 Bernal, Francisco
5 Biscay, Rolando J.
5 Bou-Rabee, Nawaf M.
5 Bressloff, Paul C.
5 Chen, Chuchu
5 Gao, Shuaibin
5 Giles, Michael B.
5 Guo, Qian
5 Higham, Desmond J.
5 Hu, Junhao
5 Kruse, Raphael
5 Kvaerno, Anne
5 Maire, Sylvain
5 Mora, Carlos M.
5 Pham Huu Anh Ngoc
5 Ritter, Klaus
5 Ryazanova, Tat’yana Vladimirovna
5 Tang, Xiao
5 Wang, Zhongjian
5 Xin, Jack X.
5 Yamada, Toshihiro
5 Yuan, Chenggui
5 Zhang, Zhiwen
4 Ableidinger, Markus
4 Anton, Cristina A.
4 Averina, Tat’yana Aleksandrovna
4 Baxendale, Peter H.
4 Burrage, Pamela M.
4 Chen, Guanrong
4 Deaconu, Madalina
4 Debussche, Arnaud
4 Häfner, Stefan
4 Henderson, Johnny Lee
4 Herrmann, Samuel
4 Hu, Lin
4 Huang, Chuying
4 Kozić, Predrag
4 Kruse, Thomas
...and 1,150 more Authors
all top 5

Cited in 243 Serials

94 Journal of Computational and Applied Mathematics
49 Applied Numerical Mathematics
40 Applied Mathematics and Computation
38 BIT
37 Journal of Computational Physics
25 SIAM Journal on Numerical Analysis
22 Mathematics and Computers in Simulation
20 The Annals of Applied Probability
18 Stochastic Processes and their Applications
18 SIAM Journal on Scientific Computing
17 Stochastic Analysis and Applications
17 International Journal of Computer Mathematics
16 Journal of Mathematical Analysis and Applications
16 Numerical Algorithms
15 Journal of Scientific Computing
15 Differentsial’nye Uravneniya i Protsessy Upravleniya
14 Mathematics of Computation
10 The Annals of Statistics
10 Physica D
9 Journal of Applied Mathematics and Mechanics
9 Physica A
9 Monte Carlo Methods and Applications
9 Communications in Nonlinear Science and Numerical Simulation
8 Numerische Mathematik
8 Applied Mathematics Letters
8 Bernoulli
8 Quantitative Finance
8 Stochastics and Dynamics
7 Computers & Mathematics with Applications
7 SIAM/ASA Journal on Uncertainty Quantification
6 Advances in Applied Probability
6 Journal of Statistical Physics
6 Chaos, Solitons and Fractals
6 Statistics & Probability Letters
6 Numerical Methods for Partial Differential Equations
6 Computational Mathematics and Mathematical Physics
6 Applied Mathematical Modelling
6 Abstract and Applied Analysis
6 Methodology and Computing in Applied Probability
6 Multiscale Modeling & Simulation
6 Advances in Difference Equations
6 Journal of Physics A: Mathematical and Theoretical
5 Computer Methods in Applied Mechanics and Engineering
5 Journal of Differential Equations
5 Journal of Complexity
5 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
5 Computational and Applied Mathematics
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 International Journal of Theoretical and Applied Finance
5 Discrete and Continuous Dynamical Systems. Series B
5 International Journal of Numerical Analysis and Modeling
5 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
5 Communications in Computational Physics
5 Stochastic and Partial Differential Equations. Analysis and Computations
5 East Asian Journal on Applied Mathematics
4 Computer Physics Communications
4 Journal of the Franklin Institute
4 Journal of Mathematical Physics
4 Mathematical Biosciences
4 Automatica
4 Journal of Applied Probability
4 Journal of Econometrics
4 Automation and Remote Control
4 Advances in Computational Mathematics
4 Mathematical Problems in Engineering
4 Finance and Stochastics
4 Foundations of Computational Mathematics
4 Stochastics
4 Advances in Applied Mathematics and Mechanics
4 Statistics and Computing
3 Calcolo
3 Systems & Control Letters
3 Journal of Economic Dynamics & Control
3 Journal of Theoretical Probability
3 Mathematical and Computer Modelling
3 Japan Journal of Industrial and Applied Mathematics
3 Applied Mathematical Finance
3 Mathematical Finance
3 Nonlinear Dynamics
3 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
3 LMS Journal of Computation and Mathematics
3 Decisions in Economics and Finance
3 Journal of Applied Mathematics and Computing
3 Journal of Statistical Mechanics: Theory and Experiment
3 Mathematical Modelling of Natural Phenomena
3 Science China. Mathematics
3 Journal of Theoretical Biology
3 Journal of Computational Dynamics
2 Communications in Mathematical Physics
2 Communications on Pure and Applied Mathematics
2 International Journal of Control
2 Journal of Fluid Mechanics
2 Journal of Mathematical Biology
2 Lithuanian Mathematical Journal
2 Physics Reports
2 Bulletin of Mathematical Biology
2 The Annals of Probability
2 Applied Mathematics and Optimization
2 Journal of Optimization Theory and Applications
2 Memoirs of the American Mathematical Society
...and 143 more Serials
all top 5

Cited in 40 Fields

774 Probability theory and stochastic processes (60-XX)
722 Numerical analysis (65-XX)
206 Ordinary differential equations (34-XX)
132 Partial differential equations (35-XX)
83 Systems theory; control (93-XX)
75 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
67 Dynamical systems and ergodic theory (37-XX)
60 Statistics (62-XX)
53 Biology and other natural sciences (92-XX)
45 Statistical mechanics, structure of matter (82-XX)
37 Fluid mechanics (76-XX)
20 Mechanics of particles and systems (70-XX)
17 Mechanics of deformable solids (74-XX)
15 Calculus of variations and optimal control; optimization (49-XX)
15 Computer science (68-XX)
13 Approximations and expansions (41-XX)
11 Integral equations (45-XX)
9 Operations research, mathematical programming (90-XX)
6 Quantum theory (81-XX)
5 Difference and functional equations (39-XX)
5 Geophysics (86-XX)
4 Real functions (26-XX)
4 Harmonic analysis on Euclidean spaces (42-XX)
4 Operator theory (47-XX)
4 Global analysis, analysis on manifolds (58-XX)
3 Functional analysis (46-XX)
2 Combinatorics (05-XX)
2 Measure and integration (28-XX)
2 Potential theory (31-XX)
2 Special functions (33-XX)
2 Integral transforms, operational calculus (44-XX)
2 Classical thermodynamics, heat transfer (80-XX)
1 General and overarching topics; collections (00-XX)
1 Mathematical logic and foundations (03-XX)
1 Number theory (11-XX)
1 Associative rings and algebras (16-XX)
1 Nonassociative rings and algebras (17-XX)
1 Optics, electromagnetic theory (78-XX)
1 Relativity and gravitational theory (83-XX)
1 Information and communication theory, circuits (94-XX)

Citations by Year