Mean-Square Numerical Methods for Stochastic Differential Equations with Small Noises. - G. N. Milstein; Michael V. Tretyakov (SIAM J. Sci. Comput., 1997)

Numerical algorithms for semilinear parabolic equations with small parameter based on approximation of stochastic equations. - G. N. Milstein; Michael V. Tretyakov (Math. Comput., 2000)

Numerical Methods for Stochastic Systems Preserving Symplectic Structure. - G. N. Milstein; Yu. M. Repin; Michael V. Tretyakov (SIAM J. Numer. Anal., 2002)

Symplectic Integration of Hamiltonian Systems with Additive Noise. - G. N. Milstein; Yu. M. Repin; Michael V. Tretyakov (SIAM J. Numer. Anal., 2002)

Numerical Integration of Stochastic Differential Equations with Nonglobally Lipschitz Coefficients. - G. N. Milstein; Michael V. Tretyakov (SIAM J. Numer. Anal., 2005)

Numerical Algorithms for Forward-Backward Stochastic Differential Equations. - G. N. Milstein; Michael V. Tretyakov (SIAM J. Sci. Comput., 2006)

Solving parabolic stochastic partial differential equations via averaging over characteristics. - G. N. Milstein; Michael V. Tretyakov (Math. Comput., 2009)

Practical Variance Reduction via Regression for Simulating Diffusions. - G. N. Milstein; Michael V. Tretyakov (SIAM J. Numer. Anal., 2009)

Construction of Mean-Self-Financing Strategies for European Options under Regime-Switching. - G. N. Milstein; Vladimir G. Spokoiny (SIAM J. Financial Math., 2014)

Layer methods for stochastic Navier-Stokes equations using simplest characteristics. - G. N. Milstein; Michael V. Tretyakov (J. Comput. Appl. Math., 2016)