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Theory and Modern Applications

Table 5 Relative 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

0.0037

0.0019

9.708e−004

5.567e−004

Milstein

0.0057

0.0027

0.0014

7.187e−004