Theory and Modern Applications
Table 7 Relative 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 | 0.0056 | 0.0011 | 8.272e−004 | 0.0012 |
Milstein | 0.1039 | 0.0148 | 0.0066 | 0.0024 |