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milstein

Function milstein 

Source
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).