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Milstein, Grigori N.

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Author ID: milstein.grigori-n Recent zbMATH articles by "Milstein, Grigori N."
Published as: Milstein, G. N.; Milstein, Grigori N.; Milstein, Grigori; Mil’shtejn, G. N.
Documents Indexed: 59 Publications since 1993, including 3 Books
1 Further Contribution
Reviewing Activity: 204 Reviews
Co-Authors: 14 Co-Authors with 50 Joint Publications
483 Co-Co-Authors

Publications by Year

Citations contained in zbMATH Open

50 Publications have been cited 1,013 times in 714 Documents Cited by Year
Stochastic numerics for mathematical physics. Zbl 1085.60004
Milstein, Grigori N.; Tretyakov, Michael V.
237
2004
Numerical integration of stochastic differential equations. Transl. from the Russian. Zbl 0810.65144
Milstein, G. N.
151
1994
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
145
2012
Balanced implicit methods for stiff stochastic systems. Zbl 0914.65143
Milstein, G. N.; Platen, E.; Schurz, H.
100
1998
Numerical methods for stochastic systems preserving symplectic structure. Zbl 1028.60064
Milstein, G. N.; Repin, Yu. M.; Tretyakov, M. V.
58
2002
Symplectic integration of Hamiltonian systems with additive noise. Zbl 1019.60056
Milstein, G. N.; Repin, Yu. M.; Tretyakov, M. V.
54
2002
Numerical algorithms for forward-backward stochastic differential equations. Zbl 1114.60054
Milstein, G. N.; Tretyakov, M. V.
47
2006
Numerical integration of stochastic differential equations with nonglobally Lipschitz coefficients. Zbl 1102.60059
Milstein, G. N.; Tretyakov, M. V.
41
2005
Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations. Zbl 1059.65007
Milstein, G. N.; Tretyakov, M. V.
40
2004
Mean-square numerical methods for stochastic differential equations with small noises. Zbl 0888.60047
Milstein, G. N.; Tret’yakov, M. V.
19
1997
Quasi-symplectic methods for Langevin-type equations. Zbl 1055.65141
Milstein, G. N.; Tretyakov, M. V.
19
2003
Simulation of a space-time bounded diffusion. Zbl 0964.60065
Milstein, G. N.; Tretyakov, M. V.
19
1999
Diffusion approximation for nonparametric autoregression. Zbl 1053.62556
Milstein, Grigori; Nussbaum, Michael
17
1998
Discretization of forward-backward stochastic differential equations and related quasi-linear parabolic equations. Zbl 1109.65009
Milstein, G. N.; Tretyakov, M. V.
16
2007
The probability approach to numerical solution of nonlinear parabolic equations. Zbl 1014.65005
Milstein, G. N.
15
2002
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
Transition density estimation for stochastic differential equations via forward-reverse representations. Zbl 1085.62098
Milstein, Grigori N.; Schoenmakers, John G. M.; Spokoiny, Vladimir
13
2004
Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach. Zbl 0993.65014
Milstein, G. N.; Tretyakov, M. V.
12
2001
Computing ergodic limits for Langevin equations. Zbl 1117.65012
Milstein, G. N.; Tretyakov, M. V.
11
2007
Solving parabolic stochastic partial differential equations via averaging over characteristics. Zbl 1198.65033
Milstein, G. N.; Tretyakov, M. V.
9
2009
Monte Carlo construction of hedging strategies against multi-asset European claims. Zbl 1005.60079
Milstein, G. N.; Schoenmakers, J. G. M.
9
2002
Weak approximation of a diffusion process in a bounded domain. Zbl 0893.60032
Milstein, G. N.
8
1997
Monte Carlo evaluation of American options using consumption processes. Zbl 1184.91209
Belomestny, Denis; Milstein, Grigori N.
7
2006
On estimation of the linearized drift for nonlinear stochastic differential equations. Zbl 1064.62092
Khasminskii, R.; Milstein, G. N.
7
2001
Regression methods in pricing American and Bermudan options using consumption processes. Zbl 1169.91338
Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir
7
2009
Practical variance reduction via regression for simulating diffusions. Zbl 1190.65011
Milstein, G. N.; Tretyakov, M. V.
7
2009
Solving the Dirichlet problem for Navier-Stokes equations by probabilistic approach. Zbl 1387.35460
Milstein, G. N.; Tretyakov, M. V.
6
2012
Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions. Zbl 1280.35097
Milstein, G. N.; Tretyakov, M. V.
6
2013
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
An approximation method for Navier-Stokes equations based on probabilistic approach. Zbl 1116.76332
Belopolskaya, Ya.; Milstein, G. N.
4
2003
Uniform approximation of the Cox-Ingersoll-Ross process via exact simulation at random times. Zbl 1362.65016
Milstein, Grigori N.; Schoenmakers, John
4
2016
The simplest random walks for the Dirichlet problem. Zbl 1038.60066
Mil’shtejn, G. N.; Tretyakov, M. V.
3
2002
Solution of the first boundary-value problem for parabolic equations by integration of stochastic differential equations. Zbl 0859.60055
Milstein, G. N.
3
1993
Orbital stability index for stochastic systems. Zbl 0970.60067
Milstein, G. N.
3
2000
A new Monte Carlo method for American options. Zbl 1121.91367
Milstein, G. N.; Reiß, O.; Schoenmakers, J.
3
2004
Layer methods for stochastic Navier-Stokes equations using simplest characteristics. Zbl 1334.65016
Milstein, G. N.; Tretyakov, M. V.
3
2016
Monte Carlo methods for backward equations in nonlinear filtering. Zbl 1159.93359
Milstein, G. N.; Tretyakov, M. V.
3
2009
Forward and reverse representations for Markov chains. Zbl 1116.62083
Milstein, G. N.; Schoenmakers, J. G. M.; Spokoiny, V.
3
2007
Uniform approximation of the Cox-Ingersoll-Ross process. Zbl 1335.65011
Milstein, Grigori N.; Schoenmakers, John
3
2015
Evaluation of moment Lyapunov exponents for second order stochastic systems. Zbl 1002.60548
Milstein, G. N.
2
1996
A probabilistic approach to the solution of the Neumann problem for nonlinear parabolic equations. Zbl 1018.65006
Milstein, G. N.; Tretyakov, M. V.
2
2002
Moment Lyapunov exponent for conservative systems with small periodic and random perturbations. Zbl 1023.60053
Imkeller, P.; Milstein, G. N.
2
2002
The simulation of phase trajectories of a diffusion process in a bounded domain. Zbl 0888.60048
Milstein, G. N.
1
1996
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
Stochastic numerics for mathematical physics. 2nd edition. Zbl 1493.60002
Milstein, Grigori N.; Tretyakov, Michael V.
1
2021
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
Nonlinear filtering algorithms based on averaging over characteristics and on the innovation approach. Zbl 1223.93116
Milstein, G. N.; Tretyakov, M. V.
1
2011
Stochastic numerics for mathematical physics. 2nd edition. Zbl 1493.60002
Milstein, Grigori N.; Tretyakov, Michael V.
1
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
3
2015
Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions. Zbl 1280.35097
Milstein, G. N.; Tretyakov, M. V.
6
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
145
2012
Solving the Dirichlet problem for Navier-Stokes equations by probabilistic approach. Zbl 1387.35460
Milstein, G. N.; Tretyakov, M. V.
6
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
Regression methods in pricing American and Bermudan options using consumption processes. Zbl 1169.91338
Belomestny, Denis; Milstein, Grigori; Spokoiny, Vladimir
7
2009
Practical variance reduction via regression for simulating diffusions. Zbl 1190.65011
Milstein, G. N.; Tretyakov, M. V.
7
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.
16
2007
Computing ergodic limits for Langevin equations. Zbl 1117.65012
Milstein, G. N.; Tretyakov, M. V.
11
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.
47
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.
41
2005
Stochastic numerics for mathematical physics. Zbl 1085.60004
Milstein, Grigori N.; Tretyakov, Michael V.
237
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
13
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.
19
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.
58
2002
Symplectic integration of Hamiltonian systems with additive noise. Zbl 1019.60056
Milstein, G. N.; Repin, Yu. M.; Tretyakov, M. V.
54
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.
3
2002
A probabilistic approach to the solution of the Neumann problem for nonlinear parabolic equations. Zbl 1018.65006
Milstein, G. N.; Tretyakov, M. V.
2
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.
12
2001
On estimation of the linearized drift for nonlinear stochastic differential equations. Zbl 1064.62092
Khasminskii, R.; Milstein, G. N.
7
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.
19
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.
100
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.
19
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.
8
1997
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
Numerical integration of stochastic differential equations. Transl. from the Russian. Zbl 0810.65144
Milstein, G. N.
151
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
all top 5

Cited by 861 Authors

23 Milstein, Grigori N.
19 Gan, Siqing
19 Hong, Jialin
18 Mao, Xuerong
17 Zhao, Weidong
16 Buckwar, Evelyn
15 Schoenmakers, John G. M.
14 Jentzen, Arnulf
14 Kloeden, Peter Eris
12 Ding, Xiaohua
12 Kuznetsov, Dmitriĭ Feliksovich
12 Rößler, Andreas
12 Tretyakov, Michael V.
10 Belomestny, Denis
10 Burrage, Kevin
10 Debrabant, Kristian
10 Ma, Qiang
10 Wang, Lijin
10 Wang, Xiaojie
9 Hosseini, Seyed Mohammad
8 Cao, Wanrong
8 Hutzenthaler, Martin
8 Lejay, Antoine
8 Platen, Eckhard
8 Szpruch, Lukasz
7 Cao, Yanzhao
7 Hofmann, Norbert
7 Jimenez, Juan Carlos
7 Sabelfeld, Karl Karlovich
7 Stoltz, Gabriel
7 Tocino, Alicia
7 Vilmart, Gilles
7 Winkler, Renate
7 Zhou, Tao
6 Abdulle, Assyr
6 Acebrón, Juan A.
6 Fan, Zhencheng
6 Higham, Desmond J.
6 Liu, Wei
6 Neuenkirch, Andreas
6 Shardlow, Tony
6 Sun, Liying
6 Sun, Yabing
6 Urusov, Mikhail A.
6 Xiao, Aiguo
6 Zhang, Qimin
5 Bayer, Christian
5 Biscay, Rolando J.
5 Bou-Rabee, Nawaf M.
5 Bréhier, Charles-Edouard
5 Giles, Michael B.
5 Guo, Qian
5 Hu, Junhao
5 Huang, Chengming
5 Kruse, Raphael
5 Kvaerno, Anne
5 Liu, Mingzhu
5 Müller-Gronbach, Thomas
5 Pham Huu Anh Ngoc
5 Rathinasamy, Anandaraman
5 Tang, Xiao
5 Wang, Peng
5 Wang, Xu
5 Wang, Zhongjian
5 Xin, Jack X.
5 Yin, Gang George
5 Yuan, Chenggui
5 Zhang, Zhiwen
4 Ableidinger, Markus
4 Bender, Christian
4 Bernal, Francisco
4 Chen, Chuchu
4 D’Ambrosio, Raffaele
4 de la Cruz, H.
4 Gao, Shuaibin
4 Haghighi, Amir
4 Hu, Lin
4 Komori, Yoshio
4 Kozić, Predrag
4 Laurent, Adrien
4 Mariucci, Ester
4 Menozzi, Stéphane
4 Nouri, Kazem
4 Ranjbar, Hassan
4 Ritter, Klaus
4 Rodríguez-Rozas, ángel
4 Rybakov, Konstantin Aleksandrovich
4 Shu, Chi-Wang
4 Sickenberger, Thorsten
4 Spokoiny, Vladimir G.
4 Tempone, Raúl F.
4 Vanden-Eijnden, Eric
4 Zhang, Chiping
3 Alcock, Jamie
3 Ankirchner, Stefan
3 Averina, Tat’yana Aleksandrovna
3 Baccouch, Mahboub
3 Bao, Feng
3 Beck, Christian
3 Bonaventura, Luca
...and 761 more Authors
all top 5

Cited in 178 Serials

83 Journal of Computational and Applied Mathematics
36 Applied Numerical Mathematics
35 BIT
32 Applied Mathematics and Computation
28 Journal of Computational Physics
22 SIAM Journal on Numerical Analysis
16 The Annals of Applied Probability
14 International Journal of Computer Mathematics
13 Mathematics of Computation
13 SIAM Journal on Scientific Computing
12 Mathematics and Computers in Simulation
12 Numerical Algorithms
11 Journal of Scientific Computing
10 Journal of Mathematical Analysis and Applications
10 The Annals of Statistics
10 Stochastic Analysis and Applications
9 Stochastic Processes and their Applications
9 Differentsial’nye Uravneniya i Protsessy Upravleniya
8 Physica D
7 Applied Mathematics Letters
7 Stochastics and Dynamics
6 Advances in Applied Probability
6 Physica A
6 Numerische Mathematik
6 Monte Carlo Methods and Applications
6 Bernoulli
6 Abstract and Applied Analysis
5 Computer Methods in Applied Mechanics and Engineering
5 Statistics & Probability Letters
5 Methodology and Computing in Applied Probability
5 Multiscale Modeling & Simulation
5 Advances in Difference Equations
5 European Series in Applied and Industrial Mathematics (ESAIM): Mathematical Modelling and Numerical Analysis
5 Communications in Computational Physics
5 SIAM/ASA Journal on Uncertainty Quantification
4 Computers & Mathematics with Applications
4 Journal of Statistical Physics
4 Automatica
4 Applied Mathematical Modelling
4 Computational and Applied Mathematics
4 Finance and Stochastics
4 Quantitative Finance
4 International Journal of Numerical Analysis and Modeling
4 Stochastics
4 Advances in Applied Mathematics and Mechanics
4 Stochastic and Partial Differential Equations. Analysis and Computations
4 East Asian Journal on Applied Mathematics
3 Journal of Mathematical Physics
3 Calcolo
3 Journal of Applied Probability
3 Journal of Complexity
3 Computational Mathematics and Mathematical Physics
3 Applied Mathematical Finance
3 Mathematical Problems in Engineering
3 Proceedings of the Royal Society of London. Series A. Mathematical, Physical and Engineering Sciences
3 International Journal of Theoretical and Applied Finance
3 LMS Journal of Computation and Mathematics
3 Communications in Nonlinear Science and Numerical Simulation
3 Foundations of Computational Mathematics
3 Journal of Applied Mathematics and Computing
3 Science China. Mathematics
2 Communications on Pure and Applied Mathematics
2 International Journal of Control
2 Applied Mathematics and Optimization
2 Memoirs of the American Mathematical Society
2 Quarterly of Applied Mathematics
2 Systems & Control Letters
2 Journal of Computational Mathematics
2 Journal of Theoretical Probability
2 Mathematical and Computer Modelling
2 Japan Journal of Industrial and Applied Mathematics
2 Automation and Remote Control
2 Journal de Mathématiques Pures et Appliquées. Neuvième Série
2 SIAM Review
2 Potential Analysis
2 Russian Journal of Numerical Analysis and Mathematical Modelling
2 Journal of Difference Equations and Applications
2 Mathematical Finance
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Nonlinear Dynamics
2 Stochastic Environmental Research and Risk Assessment
2 Discrete and Continuous Dynamical Systems. Series B
2 Decisions in Economics and Finance
2 Proceedings of the Steklov Institute of Mathematics
2 Frontiers of Mathematics in China
2 Discrete and Continuous Dynamical Systems. Series S
2 SIAM Journal on Financial Mathematics
2 Statistics and Computing
2 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys
2 Communications on Applied Mathematics and Computation
2 Probability, Uncertainty and Quantitative Risk
1 Bulletin of the Australian Mathematical Society
1 Communications in Mathematical Physics
1 International Journal of Solids and Structures
1 Jahresbericht der Deutschen Mathematiker-Vereinigung (DMV)
1 Journal of Mathematical Biology
1 Mathematical Biosciences
1 Mathematical Methods in the Applied Sciences
1 Physics Reports
1 Rocky Mountain Journal of Mathematics
...and 78 more Serials

Citations by Year