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 | 0.0037 | 0.0019 | 9.708e−004 | 5.567e−004 |
Milstein | 0.0057 | 0.0027 | 0.0014 | 7.187e−004 |