4.5.8 pde.solvers.milstein module

Defines an explicit Milstein solver for stochastic differential equations.

MilsteinSolver

Milstein method for stochastic differential equations.
class MilsteinSolver(pde, *, backend='auto', adaptive=False, tolerance=0.0001)[source]

Bases: EulerSolver

Milstein method for stochastic differential equations.

Parameters:

  • pde (PDEBase) – The partial differential equation that should be solved

  • backend (str) – The backend used for numerical operations

  • adaptive (bool) – Whether to use adaptive time stepping

  • tolerance (float) – Error tolerance for adaptive time stepping

name = 'milstein'