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ORCIDMichael V. Tretyakov
Person information
- affiliation: University of Leicester, UK
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2020 – today
- 2024
[i8]Ben Leimkuhler, Akash Sharma, Michael V. Tretyakov:
Numerical integrators for confined Langevin dynamics. CoRR abs/2404.16584 (2024)- [i7]Michael V. Tretyakov:
Sampling from mixture distributions based on regime-switching diffusions. CoRR abs/2407.13389 (2024) - 2023
- [i6]Karthik Bharath, Alexander Lewis, Akash Sharma, Michael V. Tretyakov:
Sampling and estimation on manifolds using the Langevin diffusion. CoRR abs/2312.14882 (2023) - 2022
- [i5]Dante Kalise
, Akash Sharma, Michael V. Tretyakov:
Consensus based optimization via jump-diffusion stochastic differential equations. CoRR abs/2205.04880 (2022) - [i4]P. D. Hinds, Michael V. Tretyakov:
Neural variance reduction for stochastic differential equations. CoRR abs/2209.12885 (2022) - 2021
- [i3]Haozhe Su, Michael V. Tretyakov, David P. Newton:
Option Valuation through Deep Learning of Transition Probability Density. CoRR abs/2105.10467 (2021) - 2020
- [i2]George Deligiannidis, S. Maurer, Michael V. Tretyakov:
Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation. CoRR abs/2001.05531 (2020) - [i1]Benedict J. Leimkuhler, Akash Sharma, Michael V. Tretyakov:
Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions. CoRR abs/2006.15670 (2020)
2010 – 2019
- 2017
- [j15]M. Park, Michael V. Tretyakov:
Stochastic Resin Transfer Molding Process. SIAM/ASA J. Uncertain. Quantification 5(1): 1110-1135 (2017) - 2016
- [j14]G. N. Milstein, Michael V. Tretyakov:
Layer methods for stochastic Navier-Stokes equations using simplest characteristics. J. Comput. Appl. Math. 302: 1-23 (2016) - 2015
- [j13]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): 153-183 (2015) - 2014
- [j12]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) - 2013
- [j11]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): 3135-3162 (2013) - 2012
- [j10]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) - 2010
- [j9]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): 552-577 (2010)
2000 – 2009
- 2009
- [j8]G. N. Milstein, Michael V. Tretyakov:
Solving parabolic stochastic partial differential equations via averaging over characteristics. Math. Comput. 78(268): 2075-2106 (2009) - [j7]G. N. Milstein, Michael V. Tretyakov:
Practical Variance Reduction via Regression for Simulating Diffusions. SIAM J. Numer. Anal. 47(2): 887-910 (2009) - 2006
- [j6]G. N. Milstein, Michael V. Tretyakov:
Numerical Algorithms for Forward-Backward Stochastic Differential Equations. SIAM J. Sci. Comput. 28(2): 561-582 (2006) - 2005
- [j5]G. N. Milstein, Michael V. Tretyakov:
Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients. SIAM J. Numer. Anal. 43(3): 1139-1154 (2005) - 2002
- [j4]G. N. Milstein, Yu. M. Repin, Michael V. Tretyakov:
Symplectic Integration of Hamiltonian Systems with Additive Noise. SIAM J. Numer. Anal. 39(6): 2066-2088 (2002) - [j3]G. N. Milstein, Yu. M. Repin, Michael V. Tretyakov:
Numerical Methods for Stochastic Systems Preserving Symplectic Structure. SIAM J. Numer. Anal. 40(4): 1583-1604 (2002) - 2000
- [j2]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): 237-267 (2000)
1990 – 1999
- 1997
- [j1]G. N. Milstein, Michael V. Tretyakov:
Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises. SIAM J. Sci. Comput. 18(4): 1067-1087 (1997)
Coauthor Index
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