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Wrong implementation for general Milstein scheme #2

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yexf308 opened this issue Mar 5, 2020 · 0 comments
Open

Wrong implementation for general Milstein scheme #2

yexf308 opened this issue Mar 5, 2020 · 0 comments

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@yexf308
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yexf308 commented Mar 5, 2020

dW2 = (0.5/sdt)dW.^2;
dW2 = (0.5/sdt)(dW.^2-dt);
These only works only for diagonal noise.
For general noise, one has to follow Kloeden's book Page 376. This I(j1, j2) is not easy to estimate here
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