Wrong implementation for general Milstein scheme

horchler / SDETools

Matlab Toolbox for the Numerical Solution of Stochastic Differential Equations

http://biorobots.case.edu

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Wrong implementation for general Milstein scheme #2

Open yexf308 opened 4 years ago

yexf308 commented 4 years ago

dW2 = (0.5/sdt)dW.^2; dW2 = (0.5/sdt)(dW.^2-dt); These only works only for diagonal noise. For general noise, one has to follow Kloeden's book Page 376. This I(j1, j2) is not easy to estimate here