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Grigori N. Milstein · Study

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Grigori N. Milstein

8 works· latest 2006· 2 institutionscluster: provisional

h-index8

i108

Citations419

Works here8

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99

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Most cited in this library

Numerical Algorithms for Forward-Backward Stochastic Differential Equations2006 · 111 citations
Weak approximation of solutions of systems of stochastic differential equations1995 · 99 citations
Simulation of a space-time bounded diffusion1999 · 48 citations
Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations2006 · 46 citations
Monte Carlo construction of hedging strategies against multi-asset European claims2002 · 32 citations

Works

8 shown

Discretization of forward–backward stochastic differential equations and related quasi-linear parabolic equations

IMA Journal of Numerical Analysis·2006·2 authors

46citations

Numerical Algorithms for Forward-Backward Stochastic Differential Equations

SIAM Journal on Scientific Computing·2006·2 authors

111citations

Numerical analysis of Monte Carlo evaluation of Greeks by finite differences

The Journal of Computational Finance·2005·2 authors·Open access

29citations

Monte Carlo construction of hedging strategies against multi-asset European claims

Stochastics and stochastics reports·2002·2 authors

32citations

Simulation of a space-time bounded diffusion

The Annals of Applied Probability·1999·2 authors·Open access

48citations

Diffusion approximation for nonparametric autoregression

Probability Theory and Related Fields·1998·2 authors·Open access

29citations

Weak approximation of a diffusion process in a bounded domain

Stochastics and stochastics reports·1997·1 author

25citations

Weak approximation of solutions of systems of stochastic differential equations

Springer eBooks·1995·1 author·chapter

99citations