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Milstein scheme (Rev #7, changes)

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Contents

Idea

The Milstein scheme, named after Grigori N. Milstein, is a numerical discrete approximation scheme for stochastic differential equations.

There is an explicit and an implicit version of the Milstein scheme.

The Milstein scheme is the simplest scheme that achieves a higher strong order of convergence than the Euler scheme, namely 1.0.

Details

Let

dX=adt+bdW d X = a \; d t + b \; d W

be an Itô stochastic differential equation with a,ba, b suitable functions. In one dimension, the Milstein scheme is the following approximation scheme:

Y n+1=Y n+αa(τ n+1,Y n+1)(τ n+1τ n)+(1α)a(τ n,Y n)(τ n+1τ n)+12bb((W τ n+1W τ n) 2(τ n+1τ n)) Y_{n+1} = Y_n + \alpha \; a(\tau_{n+1}, Y_{n+1}) (\tau_{n+1} - \tau_{n}) + (1 - \alpha) a(\tau_{n}, Y_{n}) (\tau_{n+1} - \tau_{n}) + \frac{1}{2} b b' ( (W_{\tau_{n+1}} - W_{\tau_n} )^2 - (\tau_{n+1} - \tau_{n}))

The number α\alpha is chosen to be between 0 and 1.

References

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