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Milstein Scheme
When silmulating a stock with the Milstein scheme was is b'(S(t),t) (b hat) ?
Milstein Scheme
Hi JAC,could you attach a document in which you found that?I guess that might cast some light on he matter.Regards,PiotrW
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- Cuchulainn
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Milstein Scheme
QuoteOriginally posted by: JACWhen silmulating a stock with the Milstein scheme was is b'(S(t),t) (b hat) ?dS = a(S)dt + b(S)dWb' == db/dS.