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Theory and Modern Applications

Table 1 Mean-square errors for ( 5.1 ) with \(\pmb{\lambda=2}\) , \(\pmb{\mu=1}\)

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