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Theory and Modern Applications

Table 6 Mean-square errors of the numerical solutions for ( 5.4 ) with \(\pmb{\lambda=-15}\)

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