Grigori N. Milstein

Publications

1.4K

Citations

H-Index

1997

Active since

Affiliations

Weierstrass Institute for Applied Analysis and Stochastics(Current)

University of Leicester

South Ural State University

Grigori N. Milstein is an author at Weierstrass Institute for Applied Analysis and Stochastics specializing in engineering, stochastic calculus, and numerical analysis.

Top concepts

EngineeringStochastic CalculusNumerical AnalysisStochastic AnalysisStochastic Differential EquationsApproximation TheoryStochastic ModelsStatisticsProbabilityBusiness

Publications per year

1997–2009

Publications

Balanced Implicit Methods for Stiff Stochastic Systems

Grigori N. Milstein, Eckhard Platen, Henri Schurz · SIAM Journal on Numerical Analysis · 1998 · 225 citations

Numerical Analysis, Engineering, Stochastic Terms +10

Numerical Methods for Stochastic Systems Preserving Symplectic Structure

Grigori N. Milstein, Yu. M. Repin, M. V. Tretyakov · SIAM Journal on Numerical Analysis · 2002 · 185 citations · Full text

Numerical Analysis, Engineering, Hamiltonian System +11

Symplectic Integration of Hamiltonian Systems with Additive Noise

Grigori N. Milstein, Yu. M. Repin, M. V. Tretyakov · SIAM Journal on Numerical Analysis · 2002 · 136 citations · Full text

Hamiltonian Theory, Hamiltonian Systems, Integrable Probability +3

Numerical Algorithms for Forward-Backward Stochastic Differential Equations

Grigori N. Milstein, M. V. Tretyakov · SIAM Journal on Scientific Computing · 2006 · 103 citations

Numerical Analysis, Numerical Computation, Engineering +9

Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients

Grigori N. Milstein, M. V. Tretyakov · SIAM Journal on Numerical Analysis · 2005 · 93 citations

Numerical Analysis, Weak Approximation, Engineering +13

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