Theory and Modern Applications
From: An improved Milstein method for stiff stochastic differential equations
h | \(\boldsymbol {h=2^{-6}}\) | \(\boldsymbol {h=2^{-7}}\) | \(\boldsymbol {h=2^{-8}}\) | \(\boldsymbol {h=2^{-9}}\) |
---|---|---|---|---|
IM | 0.0117 | 0.0017 | 7.113e−004 | 7.424e−004 |
Milstein | 0.0183 | 0.0126 | 0.0068 | 0.0016 |