Theory and Modern Applications
Table 2 Mean-square errors for ( 5.1 ), \(\pmb{\lambda=-20}\) , \(\pmb{\mu=5}\)
From: An improved Milstein method for stiff stochastic differential equations
h | \(\boldsymbol {2^{-1}}\) | \(\boldsymbol {2^{-2}}\) | \(\boldsymbol {2^{-3}}\) | \(\boldsymbol {2^{-4}}\) |
|---|---|---|---|---|
IM | 0.71000 | 0.3733 | 0.0669 | 0.0004 |
Milstein | 1.738e+002 | 1.709e+004 | 1.033e+004 | 3.347e+002 |