M. V. Tretyakov

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Consensus-based optimization via jump-diffusion stochastic differential equations M\(^3\)AS. Mathematical Models & Methods in Applied Sciences	2023-06-23	Paper
Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions The Annals of Applied Probability	2023-06-05	Paper
A BLOCK CIRCULANT EMBEDDING METHOD FOR SIMULATION OF STATIONARY GAUSSIAN RANDOM FIELDS ON BLOCK-REGULAR GRIDS International Journal for Uncertainty Quantification	2022-11-24	Paper
Mean-square approximation of Navier-Stokes equations with additive noise in vorticity-velocity formulation Numerical Mathematics: Theory, Methods and Applications	2021-09-29	Paper
Stochastic numerics for mathematical physics Scientific Computation	2021-09-23	Paper
Effect of random forcing on fluid-lubricated bearing IMA Journal of Applied Mathematics	2021-08-19	Paper
Pricing FX Options under Intermediate Currency	2019-12-03	Paper
Evaluation of the minimum face clearance of a high-speed gas-lubricated bearing with Navier slip boundary conditions under random excitations Journal of Engineering Mathematics	2019-09-11	Paper
Mutation and selection in bacteria: modelling and calibration Bulletin of Mathematical Biology	2019-05-09	Paper
Bayesian inversion in resin transfer molding Inverse Problems	2018-08-24	Paper
Stochastic Resin Transfer Molding Process SIAM/ASA Journal on Uncertainty Quantification	2018-04-19	Paper
Layer methods for stochastic Navier-Stokes equations using simplest characteristics Journal of Computational and Applied Mathematics	2016-04-14	Paper
Wiener chaos versus stochastic collocation methods for linear advection-diffusion-reaction equations with multiplicative white noise SIAM Journal on Numerical Analysis	2015-09-16	Paper
Wiener chaos versus stochastic collocation methods for linear advection-diffusion-reaction equations with multiplicative white noise SIAM Journal on Numerical Analysis	2015-09-16	Paper
A recursive sparse grid collocation method for differential equations with white noise SIAM Journal on Scientific Computing	2014-11-17	Paper
Numerical integration of the Heath-Jarrow-Morton model of interest rates IMA Journal of Numerical Analysis	2014-02-28	Paper
A fundamental mean-square convergence theorem for SDEs with locally Lipschitz coefficients and its applications SIAM Journal on Numerical Analysis	2014-02-24	Paper
On the long-time integration of stochastic gradient systems	2014-02-12	Paper
Layer methods for Navier-Stokes equations with additive noise	2013-12-20	Paper
Introductory course on financial mathematics	2013-11-04	Paper
Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions Advances in Applied Probability	2013-10-23	Paper
Application of simplest random walk algorithms for pricing barrier options Recent Developments in Computational Finance	2013-09-24	Paper
A multistage Wiener chaos expansion method for stochastic advection-diffusion-reaction equations SIAM Journal on Scientific Computing	2012-08-23	Paper
Solving the Dirichlet problem for Navier-Stokes equations by probabilistic approach BIT	2012-03-23	Paper
Computing conditional Wiener integrals of functionals of a general form IMA Journal of Numerical Analysis	2011-08-19	Paper
Numerical solution of the Dirichlet problem for linear parabolic SPDEs based on averaging over characteristics Stochastic Analysis 2010	2011-07-13	Paper
scientific article; zbMATH DE number 5919879 (Why is no real title available?)	2011-07-13	Paper
Convergence of numerical time-averaging and stationary measures via Poisson equations SIAM Journal on Numerical Analysis	2011-03-15	Paper
Convergence of numerical time-averaging and stationary measures via Poisson equations SIAM Journal on Numerical Analysis	2011-03-15	Paper
Solving parabolic stochastic partial differential equations via averaging over characteristics Mathematics of Computation	2010-11-07	Paper
Practical variance reduction via regression for simulating diffusions SIAM Journal on Numerical Analysis	2010-05-11	Paper
Monte Carlo methods for backward equations in nonlinear filtering Advances in Applied Probability	2009-05-06	Paper
Computing ergodic limits for Langevin equations Physica D	2007-06-14	Paper
Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations IMA Journal of Numerical Analysis	2007-01-31	Paper
Numerical Algorithms for Forward-Backward Stochastic Differential Equations SIAM Journal on Scientific Computing	2006-05-30	Paper
Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients SIAM Journal on Numerical Analysis	2005-10-28	Paper
scientific article; zbMATH DE number 2114382 (Why is no real title available?)	2004-11-10	Paper
Evaluation of conditional Wiener integrals by numerical integration of stochastic differential equations Journal of Computational Physics	2004-08-06	Paper
Quasi-symplectic methods for Langevin-type equations IMA Journal of Numerical Analysis	2004-05-18	Paper
NOISE-INDUCED UNIDIRECTIONAL TRANSPORT Stochastics and Dynamics	2004-05-18	Paper
The Simplest Random Walks for the Dirichlet Problem Theory of Probability & Its Applications	2004-01-21	Paper
A probabilistic approach to the solution of the Neumann problem for nonlinear parabolic equations IMA Journal of Numerical Analysis	2003-08-25	Paper
Numerical Methods for Stochastic Systems Preserving Symplectic Structure SIAM Journal on Numerical Analysis	2003-01-05	Paper
Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach IMA Journal of Numerical Analysis	2002-09-26	Paper
Symplectic Integration of Hamiltonian Systems with Additive Noise SIAM Journal on Numerical Analysis	2002-07-08	Paper
On the FKPP equation with Gaussian shear advection Physica D	2001-11-27	Paper
Simulation of a space-time bounded diffusion The Annals of Applied Probability	2000-09-04	Paper
Numerical analysis of noise-induced regular oscillations Physica D	2000-07-11	Paper
Mean velocity of noise-induced transport in the limit of weak periodic forcing Journal of Physics A: Mathematical and General	2000-04-25	Paper
Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations Mathematics of Computation	1999-11-01	Paper
Numerical Methods in the Weak Sense for Stochastic Differential Equations with Small Noise SIAM Journal on Numerical Analysis	1998-02-10	Paper
Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises SIAM Journal on Scientific Computing	1998-02-10	Paper
Neural variance reduction for stochastic differential equations (available as arXiv preprint)	N/A	Paper
Numerical integrators for confined Langevin dynamics (available as arXiv preprint)	N/A	Paper

Research outcomes over time

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