Theory and Modern Applications
Table 4 Mean-square errors of the numerical solutions for ( 5.4 ) with \(\pmb{\lambda=-2}\)
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 | 0.0073 | 0.0038 | 0.0020 | 0.0012 |
Milstein | 0.0100 | 0.0048 | 0.0025 | 0.0014 |