Theory and Modern Applications
From: An improved Milstein method for stiff stochastic differential equations
h | \(\boldsymbol {h=2^{-3}}\) | \(\boldsymbol {h=2^{-4}}\) | \(\boldsymbol {h=2^{-5}}\) | \(\boldsymbol {h=2^{-6}}\) |
---|---|---|---|---|
IM | 0.1232 | 0.0616 | 0.0318 | 0.0164 |
Milstein | 8.497e+009 | 9.307e+014 | 9.481e+018 | 1.141e+011 |