Research Article
A Simplified Milstein Scheme for SPDEs with Multiplicative Noise
Table 1
Runtime (seconds) for one path simulation using three methods
,
, and
for
= 64, 128, 256, 512, 1024.
| | Implicit Euler scheme | Milstein scheme | Simplified Milstein scheme |
| 64 | 38.316292 | 0.703536 | 0.690610 | 128 | 381.021714 | 3.628195 | 3.581998 | 256 | 3874.629760 | 19.811083 | 19.405515 | 512 | 46885.088426 | 126.663048 | 124.849040 | 1024 | | 842.699400 | 834.842365 |
|
|