THE IMPLEMENTATION OF MILSTEIN SCHEME IN TWO-DIMENSIONAL SDES USING NON-DEGENERACY FOR THE DIFFUSION TERM
We show the convergence of the Milstein scheme in two-dimensional stochastic differential equations using a Matlab implementation for a particular class of invertible stochastic differential equations. In the implementation, we get an order one approximation under a non-degeneracy assumption.
stochastic differential equations (SDE), invertible SDEs, numerical solution of stochastic differential equations, Milstein method for solving SDE, Euler method for SDE.
