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The first method is Euler-Maruyama with its strong convergence of order $0.5$. This can be seen in the difference plot on the right. The step sizes vary with a factor of $4$, while the error does not decrease that rapidly. In the second method, if one inserts the constants actually used, then the steps are \begin{align} k_1&=f(x_t)Δt+g(x_t)\sqrt2ΔW_t\\ ...

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