Theory and Modern Applications
From: An improved Milstein method for stiff stochastic differential equations
h | \(\boldsymbol {h=2^{-5}}\) | \(\boldsymbol {h=2^{-6}}\) | \(\boldsymbol {h=2^{-7}}\) | \(\boldsymbol {h=2^{-8}}\) | \(\boldsymbol {h=2^{-9}}\) |
---|---|---|---|---|---|
IM | 0.8286 | 0.3975 | 0.1944 | 0.0979 | 0.0485 |
Milstein | 1.4909 | 0.7991 | 0.4136 | 0.2082 | 0.1053 |