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Theory and Modern Applications

Table 1 Estimation values for Euler-Maruyama and Milstein methods

From: Numerical methods for simulation of stochastic differential equations

N

Euler-Maruyama estimation

Milstein estimation

29

35.0213

35.0531

210

35.1408

35.0277

211

35.2520

35.2222

212

35.3850

35.4594

213

5.3261

35.5083