| Publication | Date of Publication | Type |
|---|
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 |
Uniform approximation of the Cox–Ingersoll–Ross process via exact simulation at random times
Advances in Applied Probability | 2017-02-21 | Paper |
Layer methods for stochastic Navier-Stokes equations using simplest characteristics
Journal of Computational and Applied Mathematics | 2016-04-14 | Paper |
Uniform approximation of the Cox-Ingersoll-Ross process
Advances in Applied Probability | 2016-02-12 | Paper |
Uniform approximation of the Cox-Ingersoll-Ross process
Advances in Applied Probability | 2016-02-12 | Paper |
Construction of mean-self-financing strategies for European options under regime-switching
SIAM Journal on Financial Mathematics | 2015-01-20 | Paper |
| Layer methods for Navier-Stokes equations with additive noise | 2013-12-20 | Paper |
Probabilistic methods for the incompressible Navier-Stokes equations with space periodic conditions
Advances in Applied Probability | 2013-10-23 | Paper |
Solving the Dirichlet problem for Navier-Stokes equations by probabilistic approach
BIT | 2012-03-23 | Paper |
| scientific article; zbMATH DE number 5919879 (Why is no real title available?) | 2011-07-13 | Paper |
Sensitivities for Bermudan options by regression methods
Decisions in Economics and Finance | 2010-11-12 | 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 |
Regression methods in pricing American and Bermudan options using consumption processes
Quantitative Finance | 2009-09-13 | Paper |
Monte Carlo methods for backward equations in nonlinear filtering
Advances in Applied Probability | 2009-05-06 | Paper |
Simulation Based Option Pricing
Applied Quantitative Finance | 2008-12-01 | Paper |
Forward and reverse representations for Markov chains
Stochastic Processes and their Applications | 2007-07-27 | 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 |
MONTE CARLO EVALUATION OF AMERICAN OPTIONS USING CONSUMPTION PROCESSES
International Journal of Theoretical and Applied Finance | 2006-08-14 | Paper |
Numerical Algorithms for Forward-Backward Stochastic Differential Equations
SIAM Journal on Scientific Computing | 2006-05-30 | Paper |
STABILITY OF GYROSCOPIC SYSTEMS UNDER SMALL RANDOM EXCITATIONS
Stochastics and Dynamics | 2005-11-03 | Paper |
Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients
SIAM Journal on Numerical Analysis | 2005-10-28 | Paper |
Transition density estimation for stochastic differential equations via forward-reverse represen\-ta\-tions
Bernoulli | 2005-03-30 | Paper |
A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
International Journal of Theoretical and Applied Finance | 2005-02-28 | 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 |
ON ESTIMATION OF THE LINEARIZED DRIFT FOR NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS
Stochastics and Dynamics | 2004-05-18 | 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 |
An approximation method for Navier-Stokes equations based on probabilistic approach.
Statistics & Probability Letters | 2004-02-14 | 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 |
The probability approach to numerical solution of nonlinear parabolic equations
Numerical Methods for Partial Differential Equations | 2003-07-17 | Paper |
THE ASYMPTOTIC BEHAVIOR OF SEMI-INVARIANTS FOR LINEAR STOCHASTIC SYSTEMS
Stochastics and Dynamics | 2003-07-08 | Paper |
| scientific article; zbMATH DE number 1031690 (Why is no real title available?) | 2003-01-20 | Paper |
Numerical Methods for Stochastic Systems Preserving Symplectic Structure
SIAM Journal on Numerical Analysis | 2003-01-05 | Paper |
Monte Carlo construction of hedging strategies against multi-asset European claims
Stochastics and Stochastic Reports | 2002-11-24 | Paper |
| scientific article; zbMATH DE number 1139632 (Why is no real title available?) | 2002-11-11 | Paper |
Numerical solution of the Dirichlet problem for nonlinear parabolic equations by a probabilistic approach
IMA Journal of Numerical Analysis | 2002-09-26 | Paper |
MOMENT LYAPUNOV EXPONENT FOR CONSERVATIVE SYSTEMS WITH SMALL PERIODIC AND RANDOM PERTURBATIONS
Stochastics and Dynamics | 2002-08-19 | Paper |
Symplectic Integration of Hamiltonian Systems with Additive Noise
SIAM Journal on Numerical Analysis | 2002-07-08 | Paper |
Maximum likelihood estimation of a nonparametric signal in white noise by optimal control
Statistics & Probability Letters | 2002-06-30 | Paper |
Transport equations with singularity
Transport Theory and Statistical Physics | 2000-12-03 | Paper |
Orbital stability index for stochastic systems
Stochastic Analysis and Applications | 2000-11-20 | Paper |
| scientific article; zbMATH DE number 1526029 (Why is no real title available?) | 2000-11-06 | Paper |
On the mean-square approximation of a diffusion process in a bounded domain
Stochastics and Stochastic Reports | 2000-10-23 | 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 |
Weak approximation of a diffusion process in a bounded domain
Stochastics and Stochastic Reports | 1998-08-10 | Paper |
The simulation of phase trajectories of a diffusion process in a bounded domain
Stochastics and Stochastic Reports | 1998-05-25 | Paper |
Balanced Implicit Methods for Stiff Stochastic Systems
SIAM Journal on Numerical Analysis | 1998-05-12 | 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 |
Diffusion approximation for nonparametric autoregression
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1998-01-01 | Paper |
| scientific article; zbMATH DE number 919343 (Why is no real title available?) | 1996-11-20 | Paper |
| scientific article; zbMATH DE number 711262 (Why is no real title available?) | 1995-01-15 | Paper |
