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).

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

In 1978, Milstein introduced weak-sense approximations of SDEs for the first time and proposed a number of weak schemes.

[8] 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.