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Revision as of 17:14, 28 December 2024 editAgor153 (talk | contribs)Extended confirmed users1,330 edits ←Created page with ''''Grigori N. Milstein''' ({{lang-rus|Григорий Нойхович Мильштейн}}; 06 June 1937 – 22 November 2023) was a Russian mathematician who made many important contributions to Stochastic Numerics, Estimation, Control, Stability, Financial Mathematics. {{Short description|Russian mathematician (1937–2023)}} {{Infobox scientist | honorific_prefix = Professor | name = Grigori N. Milstein | ho...'Tag: Disambiguation links added  Latest revision as of 21:47, 1 January 2025 edit undoMVTWikiEditor (talk | contribs)3 editsNo edit summary 
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⚫ '''Grigori N. Milstein''' ({{lang-rus|Григорий Нойхович Мильштейн}}; 06 June 1937 – 22 November 2023) was a Russian ] who made many important contributions to ], ], ], ], ].

{{Short description|Russian mathematician (1937–2023)}} {{Short description|Russian mathematician (1937–2023)}}
{{Infobox scientist {{Infobox scientist
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| native_name_lang = Russian | native_name_lang = Russian
| image = ] | image = Milstein.jpg
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| birth_place = ], ] | birth_place = ], ]
| death_date = {{death date and age |2023|11|22 |1937|06|06}} | death_date = {{death date and age |2023|11|22 |1937|06|06}}
| death_place = ], ] | death_place = ], ]
| death_cause = | death_cause =
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}} }}

⚫ '''Grigori N. Milstein''' ({{lang-rus|Григорий Нойхович Мильштейн}}; 6 June 1937 – 22 November 2023) was a Russian ] who made many important contributions to ], ], ], ], ].


==Biography== ==Biography==


Professor G.N. Milstein received his undergraduate degree in mathematics from the ] (UrGU; ], ]), G.N. Milstein received his undergraduate degree in mathematics from the ] (UrGU; ], ]),
which is now ] (], ]). He completed his PhD studies at the same University. which is now ] (], ]). He completed his PhD studies at the same university.
Professor Milstein has been an assistant professor, associate professor and, after defending his DSc thesis, Milstein has been an assistant professor, associate professor and, after defending his DSc thesis,
professor at the Faculty of Mathematics and Mechanics UrGU (then URFU). professor at the Faculty of Mathematics and Mechanics UrGU (then URFU).
He also worked as Senior Researcher at the ] for Applied Analysis and Stochastics (], ]) and He also worked as senior researcher at the ] for Applied Analysis and Stochastics (], ]) and
was a Visiting Professor at ] (], ]) and ] (], ]). was a visiting professor at ] (], ]) and ] (], UK).




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He has published four research monographs: He has published four research monographs:
<ref>{{cite book|first=G. N.|last=Milstein |title= Numerical Integration of Stochastic Differential Equations|publisher=Ural. State Univ., Sverdlovsk|year=1988|language=ru}}</ref>, <ref>{{cite book|first=G. N.|last=Milstein |title= Numerical Integration of Stochastic Differential Equations|publisher=Ural. State Univ., Sverdlovsk|year=1988|language=ru}}</ref>
<ref>{{cite book|first=G. N.|last=Milstein |title= Numerical Integration of Stochastic Differential Equations|publisher=Kluwer Academic Publishers|year=1995|doi =10.1007/978-94-015-8455-5}}</ref>, <ref>{{cite book|first=G. N.|last=Milstein |title= Numerical Integration of Stochastic Differential Equations|publisher=Kluwer Academic Publishers|year=1995|doi =10.1007/978-94-015-8455-5}}</ref>
<ref>{{cite book|first1=G. N.|last1=Milstein |first2=M. V.|last2=Tretyakov |title= Stochastic Numerics for Mathematical Physics| <ref>{{cite book|first1=G. N.|last1=Milstein |first2=M. V.|last2=Tretyakov |title= Stochastic Numerics for Mathematical Physics|
publisher=Springer|year=2004|doi =10.1007/978-3-662-10063-9}}</ref>, publisher=Springer|year=2004|doi =10.1007/978-3-662-10063-9}}</ref>
<ref>{{cite book|first1=G. N.|last1=Milstein |first2=M. V.|last2=Tretyakov |title= Stochastic Numerics for Mathematical Physics. Revised and expanded Second Edition| <ref>{{cite book|first1=G. N.|last1=Milstein |first2=M. V.|last2=Tretyakov |title= Stochastic Numerics for Mathematical Physics. Revised and expanded Second Edition|
publisher=Springer|year=2021|doi =10.1007/978-3-030-82040-4}}</ref>. publisher=Springer|year=2021|doi =10.1007/978-3-030-82040-4}}</ref>
The first of the listed books was the first monograph in the world published on the topic of ] for The first of the listed books was the first monograph in the world published on the topic of ] for
]. ].
He also contributed to the second edition of R. Khasminskii "Stochastic Stability of Differential Equations", Springer, 2012 He also contributed to the second edition of R. Khasminskii "Stochastic Stability of Differential Equations", Springer, 2012.<ref>{{cite book|first1=R. Z.|last1=Khasminskii |title= Stochastic Stability of Differential Equations|
⚫ publisher=Springer|year=2012|doi =10.1007/978-3-642-23280-0}}</ref>
<ref>{{cite book|first1=R. Z.|last1=Khasminskii |title= Stochastic Stability of Differential Equations|
⚫ publisher=Springer|year=2012|doi =10.1007/978-3-642-23280-0}}</ref>.


He has published more than 100 journal papers. He has published more than 100 journal papers.


In Milstein's early pioneering papers on Stochastic Numerics<ref>{{cite journal|first=G. N.|last=Mil'shtein |title=Approximate integration of stochastic differential equations In Milstein's early pioneering paper on Stochastic Numerics (1974,1975)<ref>{{cite journal|first=G. N.|last=Mil'shtein |title=Approximate integration of stochastic differential equations
|journal=Teoriya Veroyatnostei i ee Primeneniya|volume=19|issue=3|year=1974| pages=583–588| |journal=Teoriya Veroyatnostei i ee Primeneniya|volume=19|issue=3|year=1974| pages=583–588|
url =http://www.mathnet.ru/php/archive.phtml?wshow=paper&jrnid=tvp&paperid=2929&option_lang=eng|language=ru}}</ref> url =http://www.mathnet.ru/php/archive.phtml?wshow=paper&jrnid=tvp&paperid=2929&option_lang=eng|language=ru}}</ref>
<ref>{{Cite journal | last1 = Mil’shtein | first1 = G. N. | title = Approximate Integration of Stochastic Differential Equations | <ref>{{Cite journal | last1 = Mil’shtein | first1 = G. N. | title = Approximate Integration of Stochastic Differential Equations |
doi = 10.1137/1119062 | journal = Theory of Probability & Its Applications | volume = 19 | issue = 3 | pages = 557-562 | year = 1975 }}</ref> he doi = 10.1137/1119062 | journal = Theory of Probability & Its Applications | volume = 19 | issue = 3 | pages = 557-562 | year = 1975 }}</ref>, he
constructed a first-order mean-square method for SDEs that is known as ]. constructed a first-order mean-square method for SDEs that is known as ].
In 1978, Milstein introduced weak-sense approximations of SDEs for the first time and proposed a number of weak schemes.<ref>{{cite journal|first=G. N.|last=Mil'shtein |title=A method with second order accuracy for the integration of stochastic differential equations In 1978, Milstein introduced weak-sense approximations of SDEs for the first time and proposed a number of weak schemes<ref>{{cite journal|first=G. N.|last=Mil'shtein |title=A method with second order accuracy for the integration of stochastic differential equations
|doi = 10.1137/1123045 | journal = Theory of Probability & Its Applications | volume = 23 | pages = 414-419 | year = 1978 }}</ref> |doi = 10.1137/1123045 | journal = Theory of Probability & Its Applications | volume = 23 | pages = 414-419 | year = 1978 }}</ref>.


These papers became classics and now are the basis of the modern theory of numerical integration of SDEs. In the 1974 paper Professor Milstein These papers became classics and now are the basis of the modern theory of numerical integration of ].
constructed a first-order mean-square method for SDEs that is known as ].
In the 1978 paper Milstein introduced weak-sense approximations of SDEs for the first time and proposed a number of weak schemes.


In 1985-1987 Professor Milstein proved fundamental convergence theorems in the mean-square and weak sense, respectively, which became the foundation for constructing In 1985-1987 Professor Milstein proved fundamental convergence theorems in the mean-square and weak sense, respectively, which became the foundation for constructing
and analysing ] for SDEs.<ref>{{cite journal|first=G. N.|last=Mil'shtein |title=Weak approximation of solutions of systems of stochastic differential equations and analysing ] for SDEs.<ref>{{cite journal|first=G. N.|last=Mil'shtein |title=Weak approximation of solutions of systems of stochastic differential equations
|doi = 10.1137/1130095 | journal = Theory of Probability & Its Applications | volume = 30 | pages = 706-721 | year = 1985 }}</ref>,<ref>{{cite journal|first=G. N.|last=Mil'shtein |title=A theorem on the order of convergence of mean-square approximations of solutions of systems of stochastic differential equations |doi = 10.1137/1130095 | journal = Theory of Probability & Its Applications | volume = 30 | pages = 706-721 | year = 1985 }}</ref><ref>{{cite journal|first=G. N.|last=Mil'shtein |title=A theorem on the order of convergence of mean-square approximations of solutions of systems of stochastic differential equations
|doi = 10.1137/1132113 | journal = Theory of Probability & Its Applications | volume = 32 | pages = 809-811 | year = 1987 }}</ref> |doi = 10.1137/1132113 | journal = Theory of Probability & Its Applications | volume = 32 | pages = 809-811 | year = 1987 }}</ref>

For further contributions of Professor Milstein to Stochastic Numerics, see his research monographs and references therein as well as his Web-page.<ref></ref>

For his other contributions to the theory of ], ], ], ], etc., see his Web-page.



== References == == References ==
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{{DEFAULTSORT:Milstein, Grigori}} {{DEFAULTSORT:Milstein, Grigori}}
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Latest revision as of 21:47, 1 January 2025

Russian mathematician (1937–2023)
ProfessorGrigori N. Milstein
Grigori Milstein 1998
Born(1937-06-06)June 6, 1937
Vinnytsia Oblast, USSR
DiedNovember 22, 2023(2023-11-22) (aged 86)
New York City, United States
NationalityRussian
Websitemichaelvtretyakov.github.io/main/GNMilstein.htm

Grigori N. Milstein (Russian: Григорий Нойхович Мильштейн; 6 June 1937 – 22 November 2023) was a Russian mathematician who made many important contributions to Stochastic Numerics, Estimation, Control, Stability theory, Financial Mathematics.

Biography

G.N. Milstein received his undergraduate degree in mathematics from the Ural State University (UrGU; Sverdlovsk, USSR), which is now Ural Federal University (Ekaterinburg, Russia). He completed his PhD studies at the same university. Milstein has been an assistant professor, associate professor and, after defending his DSc thesis, professor at the Faculty of Mathematics and Mechanics UrGU (then URFU). He also worked as senior researcher at the Weierstrass Institute for Applied Analysis and Stochastics (Berlin, Germany) and was a visiting professor at University of Leicester (Leicester, UK) and University of Manchester (Manchester, UK).


Research

Milstein was a world-leading expert in Stochastic Numerics, Estimation, Control, Stability, Financial Mathematics.

He has published four research monographs: The first of the listed books was the first monograph in the world published on the topic of numerical methods for stochastic differential equations. He also contributed to the second edition of R. Khasminskii "Stochastic Stability of Differential Equations", Springer, 2012.

He has published more than 100 journal papers.

In Milstein's early pioneering paper on Stochastic Numerics (1974,1975) , he constructed a first-order mean-square method for SDEs that is known as Milstein method. In 1978, Milstein introduced weak-sense approximations of SDEs for the first time and proposed a number of weak schemes.

These papers became classics and now are the basis of the modern theory of numerical integration of stochastic differential equations.

In 1985-1987 Professor Milstein proved fundamental convergence theorems in the mean-square and weak sense, respectively, which became the foundation for constructing and analysing numerical methods for SDEs.

References

  1. Milstein, G. N. (1988). Numerical Integration of Stochastic Differential Equations (in Russian). Ural. State Univ., Sverdlovsk.
  2. Milstein, G. N. (1995). Numerical Integration of Stochastic Differential Equations. Kluwer Academic Publishers. doi:10.1007/978-94-015-8455-5.
  3. Milstein, G. N.; Tretyakov, M. V. (2004). Stochastic Numerics for Mathematical Physics. Springer. doi:10.1007/978-3-662-10063-9.
  4. Milstein, G. N.; Tretyakov, M. V. (2021). Stochastic Numerics for Mathematical Physics. Revised and expanded Second Edition. Springer. doi:10.1007/978-3-030-82040-4.
  5. Khasminskii, R. Z. (2012). Stochastic Stability of Differential Equations. Springer. doi:10.1007/978-3-642-23280-0.
  6. Mil'shtein, G. N. (1974). "Approximate integration of stochastic differential equations". Teoriya Veroyatnostei i ee Primeneniya (in Russian). 19 (3): 583–588.
  7. Mil’shtein, G. N. (1975). "Approximate Integration of Stochastic Differential Equations". Theory of Probability & Its Applications. 19 (3): 557–562. doi:10.1137/1119062.
  8. Mil'shtein, G. N. (1978). "A method with second order accuracy for the integration of stochastic differential equations". Theory of Probability & Its Applications. 23: 414–419. doi:10.1137/1123045.
  9. Mil'shtein, G. N. (1985). "Weak approximation of solutions of systems of stochastic differential equations". Theory of Probability & Its Applications. 30: 706–721. doi:10.1137/1130095.
  10. Mil'shtein, G. N. (1987). "A theorem on the order of convergence of mean-square approximations of solutions of systems of stochastic differential equations". Theory of Probability & Its Applications. 32: 809–811. doi:10.1137/1132113.

External links

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