Michael V. Tretyakov

发表

Solving parabolic stochastic partial differential equations via averaging over characteristics

G. N. Milstein, Michael V. Tretyakov, G. Milstein, 2009, Math. Comput..

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

Zhongqiang Zhang, George E. Karniadakis, Boris Rozovskii, 2015, SIAM J. Numer. Anal..

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

Zhongqiang Zhang, Michael V. Tretyakov, M. V. Tretyakov, 2012, SIAM J. Numer. Anal..

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

Michael V. Tretyakov, George Deligiannidis, S. Maurer, 2020, ArXiv.

Numerical solution of the nonlinear Dirichlet and Neumann problems based on the probabilistic approach

Michael V. Tretyakov, Grigori N. Milstein, 2004 .

Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

G. N. Milstein, Michael V. Tretyakov, M. V. Tretyakov, 2005, SIAM J. Numer. Anal..

Numerical Algorithms for Forward-Backward Stochastic Differential Equations

G. N. Milstein, Michael V. Tretyakov, M. V. Tretyakov, 2006, SIAM J. Sci. Comput..

Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises

G. N. Milstein, Michael V. Tretyakov, G. Milstein, 1997, SIAM J. Sci. Comput..

Symplectic Integration of Hamiltonian Systems with Additive Noise

G. N. Milstein, Michael V. Tretyakov, M. V. Tretyakov, 2001, SIAM J. Numer. Anal..

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

Zhongqiang Zhang, George E. Karniadakis, Boris Rozovskii, 2012, SIAM J. Sci. Comput..

Numerical Mathematics and Advanced Applications 2011

Jeremy Levesley, Ruslan L. Davidchack, Emmanuil H. Georgoulis, 2013 .

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

Zhongqiang Zhang, George E. Karniadakis, Boris Rozovskii, 2013, SIAM J. Sci. Comput..

Layer methods for stochastic Navier-Stokes equations using simplest characteristics

G. N. Milstein, Michael V. Tretyakov, M. V. Tretyakov, 2016, J. Comput. Appl. Math..

Numerical Mathematics and Advanced Applications 2011: Proceedings of ENUMATH 2011, the 9th European Conference on Numerical Mathematics and Advanced Applications, Leicester, September 2011

Jeremy Levesley, Ruslan L. Davidchack, Emmanuil H. Georgoulis, 2013 .

Practical Variance Reduction via Regression for Simulating Diffusions

G. N. Milstein, Michael V. Tretyakov, G. Milstein, 2009, SIAM J. Numer. Anal..

Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations

G. N. Milstein, Michael V. Tretyakov, M. V. Tretyakov, 2000, Math. Comput..

Numerical Methods for Stochastic Systems Preserving Symplectic Structure

G. N. Milstein, Michael V. Tretyakov, M. V. Tretyakov, 2002, SIAM J. Numer. Anal..

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

Andrew M. Stuart, Jonathan C. Mattingly, Michael V. Tretyakov, 2009, SIAM J. Numer. Anal..

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

Michael V. Tretyakov, George Deligiannidis, M. V. Tretyakov, 2020, BIT Numerical Mathematics.

Numerical Analysis of Monte Carlo Evaluation of Greeks by Finite Differences

Michael V. Tretyakov, M. V. Tretyakov, Grigori N. Milstein, 2005 .

Mean-square approximation for stochastic differential equations

Michael V. Tretyakov, Grigori N. Milstein, 2004 .

SIMULATION OF A SPACE-TIME BOUNDED DIFFUSION

Michael V. Tretyakov, M. V. Tretyakov, Grigori N. Milstein, 1999 .

Numerical methods for SDEs with small noise

Michael V. Tretyakov, Grigori N. Milstein, 2004 .

Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

Michael V. Tretyakov, Grigori N. Milstein, 2007 .

Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise

Michael V. Tretyakov, Grigori N. Milstein, G. Milstein, 1997 .

Solving the Dirichlet problem for Navier–Stokes equations by probabilistic approach

Michael V. Tretyakov, Grigori N. Milstein, G. Milstein, 2012 .

Quasi‐symplectic methods for Langevin‐type equations

G. N. Milstein, Michael V. Tretyakov, M. V. Tretyakov, 2003 .

Monte Carlo methods for backward equations in nonlinear filtering

Michael V. Tretyakov, M. V. Tretyakov, Grigori N. Milstein, 2009, Advances in Applied Probability.