Theory and Modern Applications
Table 2 Calculated mean square errors for Euler-Maruyama and Milstein methods
From: Numerical methods for simulation of stochastic differential equations
N | Euler-Maruyama estimation | Milstein estimation |
|---|---|---|
29 | 1.80e − 01 | 8.26e − 02 |
210 | 7.01e − 02 | 2.04e − 02 |
211 | 2.98e − 02 | 5.30e − 03 |
212 | 1.40e − 02 | 1.30e − 03 |
213 | 6.80e − 03 | 3.34e − 04 |