Milstein's method in Econometrics Toolbox SDE

1 Nov 2011
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Hello,
I am trying to implement Milstein's method for SDEs ( http://en.wikipedia.org/wiki/Milstein_method)
The documentation says that the sde(...) constructor offers the option to specify a user-defined function as simulation method, but I couldn't find the format described anywhere:
Simulation: A user-defined simulation function or SDE simulation method. If you do not specify a value for Simulation, the default method is simulation by Euler approximation (simByEuler).
Can anyone help?
Thank you

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Paul
Paul
on 1 Nov 2011

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