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Grigori Milstein

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Grigori N. Milstein (Russian: 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.

Russian mathematician (1937–2023)
ProfessorGrigori N. Milstein
Grigori 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, USA
NationalityRussian
Websitemichaelvtretyakov.github.io/main/GNMilstein.htm

Biography

Professor 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. Professor 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 papers on Stochastic Numerics 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 SDEs. In the 1974 paper Professor Milstein constructed a first-order mean-square method for SDEs that is known as Milstein method. 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 and analysing numerical methods for SDEs.,

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

For his other contributions to the theory of stochastic differential equation, control, estimation, financial mathematics, etc., see his Web-page.


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.
  11. GN Milstein

External links

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