Michael V. Tretyakov

28 papers Journal 28

Year	Rank	Type	Title / Venue / Authors
2025	J	`jnl`	Deep Learning of Transition Probability Densities for Stochastic Asset Models with Applications in Option Pricing. Manag. Sci. Haozhe Su, Michael V. Tretyakov, David P. Newton
2025	J	`jnl`	DeepONet-accelerated Bayesian inversion for moving boundary problems. CoRR Marco A. Iglesias, Michael E. Causon, Mikhail Y. Matveev, Andreas Endruweit, Michael V. Tretyakov
2025	J	`jnl`	Sampling and Estimation on Manifolds using the Langevin Diffusion. J. Mach. Learn. Res. Karthik Bharath, Alexander Lewis, Akash Sharma, Michael V. Tretyakov
2025	J	`jnl`	Sampling from Mixture Distributions Based on Regime-Switching Diffusions. SIAM J. Sci. Comput. Michael V. Tretyakov
2024	J	`jnl`	Numerical integrators for confined Langevin dynamics. CoRR Ben Leimkuhler, Akash Sharma, Michael V. Tretyakov
2024	J	`jnl`	Sampling from mixture distributions based on regime-switching diffusions. CoRR Michael V. Tretyakov
2024	J	`jnl`	Well-posedness and approximation of reflected McKean-Vlasov SDEs with applications. CoRR P. D. Hinds, Akash Sharma, Michael V. Tretyakov
2023	J	`jnl`	Sampling and estimation on manifolds using the Langevin diffusion. CoRR Karthik Bharath, Alexander Lewis, Akash Sharma, Michael V. Tretyakov
2022	J	`jnl`	Consensus based optimization via jump-diffusion stochastic differential equations. CoRR Dante Kalise, Akash Sharma, Michael V. Tretyakov
2022	J	`jnl`	Neural variance reduction for stochastic differential equations. CoRR P. D. Hinds, Michael V. Tretyakov
2021	J	`jnl`	Option Valuation through Deep Learning of Transition Probability Density. CoRR Haozhe Su, Michael V. Tretyakov, David P. Newton
2020	J	`jnl`	Random walk algorithm for the Dirichlet problem for parabolic integro-differential equation. CoRR George Deligiannidis, S. Maurer, Michael V. Tretyakov
2020	J	`jnl`	Simplest random walk for approximating Robin boundary value problems and ergodic limits of reflected diffusions. CoRR Benedict J. Leimkuhler, Akash Sharma, Michael V. Tretyakov
2017	J	`jnl`	Stochastic Resin Transfer Molding Process. SIAM/ASA J. Uncertain. Quantification M. Park, Michael V. Tretyakov
2016	J	`jnl`	Layer methods for stochastic Navier-Stokes equations using simplest characteristics. J. Comput. Appl. Math. G. N. Milstein, Michael V. Tretyakov
2015	J	`jnl`	Wiener Chaos Versus Stochastic Collocation Methods for Linear Advection-Diffusion-Reaction Equations with Multiplicative White Noise. SIAM J. Numer. Anal. Zhongqiang Zhang, Michael V. Tretyakov, Boris Rozovskii, George E. Karniadakis
2014	J	`jnl`	A Recursive Sparse Grid Collocation Method for Differential Equations with White Noise. SIAM J. Sci. Comput. Zhongqiang Zhang, Michael V. Tretyakov, Boris Rozovskii, George E. Karniadakis
2013	J	`jnl`	A Fundamental Mean-Square Convergence Theorem for SDEs with Locally Lipschitz Coefficients and Its Applications. SIAM J. Numer. Anal. Michael V. Tretyakov, Zhongqiang Zhang
2012	J	`jnl`	A Multistage Wiener Chaos Expansion Method for Stochastic Advection-Diffusion-Reaction Equations. SIAM J. Sci. Comput. Zhongqiang Zhang, Boris Rozovskii, Michael V. Tretyakov, George E. Karniadakis
2010	J	`jnl`	Convergence of Numerical Time-Averaging and Stationary Measures via Poisson Equations. SIAM J. Numer. Anal. Jonathan C. Mattingly, Andrew M. Stuart, Michael V. Tretyakov
2009	J	`jnl`	Practical Variance Reduction via Regression for Simulating Diffusions. SIAM J. Numer. Anal. G. N. Milstein, Michael V. Tretyakov
2009	J	`jnl`	Solving parabolic stochastic partial differential equations via averaging over characteristics. Math. Comput. G. N. Milstein, Michael V. Tretyakov
2006	J	`jnl`	Numerical Algorithms for Forward-Backward Stochastic Differential Equations. SIAM J. Sci. Comput. G. N. Milstein, Michael V. Tretyakov
2005	J	`jnl`	Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients. SIAM J. Numer. Anal. G. N. Milstein, Michael V. Tretyakov
2002	J	`jnl`	Numerical Methods for Stochastic Systems Preserving Symplectic Structure. SIAM J. Numer. Anal. G. N. Milstein, Yu. M. Repin, Michael V. Tretyakov
2002	J	`jnl`	Symplectic Integration of Hamiltonian Systems with Additive Noise. SIAM J. Numer. Anal. G. N. Milstein, Yu. M. Repin, Michael V. Tretyakov
2000	J	`jnl`	Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations. Math. Comput. G. N. Milstein, Michael V. Tretyakov
1997	J	`jnl`	Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises. SIAM J. Sci. Comput. G. N. Milstein, Michael V. Tretyakov