pub fn milstein(
sde: &SDE,
diffusion_derivative: &dyn Fn(f64, f64) -> f64,
x0: f64,
dt: f64,
steps: usize,
rng: &mut Rng,
) -> Vec<f64>Expand description
Milstein method for solving an SDE.
X_{n+1} = X_n + adt + bdW + 0.5bb’*(dW^2 - dt) where b’ = db/dx (diffusion_derivative).