Grigori N. Milstein

E645106

Grigori N. Milstein is a mathematician known for his influential contributions to numerical analysis of stochastic differential equations, including the development of the Milstein method.

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Grigori N. Milstein canonical 1

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Predicate Object
instanceOf mathematician
numerical method
numerical scheme for stochastic differential equations
person
appliesTo stochastic differential equations
contributedTo development of numerical methods for stochastic differential equations
developed Milstein method for stochastic differential equations NERFINISHED
fieldOfUse computational finance
numerical analysis
stochastic modeling
fieldOfWork mathematics
numerical analysis
stochastic analysis
stochastic differential equations
hasProperty higher order of strong convergence than Euler–Maruyama method
hasResearchInterest numerical schemes for stochastic differential equations
stochastic integration
strong and weak approximation of stochastic differential equations
influenced computational stochastic analysis
knownFor numerical analysis of stochastic differential equations
namedAfter Grigori N. Milstein NERFINISHED
notableFor Milstein method NERFINISHED
notableWork Milstein scheme for stochastic differential equations NERFINISHED
usedFor simulation of stochastic differential equations
strong approximation of stochastic differential equations

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Milstein method namedAfter Grigori N. Milstein