Milstein's method in Econometrics Toolbox SDE

1 Nov 2011
0 Answers
9 Views (30 days)

0 votes

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

Sign in to answer this question.

Answers (0)

Categories

Find more on Multivariate Models in Help Center and File Exchange

Products

Tags

Asked:

Paul
Paul
on 1 Nov 2011

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!