NUMERICAL SIMULATION OF STOCHASTIC DIFFERENTIAL EQUATIONS USING IMPLICIT MILSTEIN METHOD

Ratna Herdiana


DOI: https://doi.org/10.14710/jfma.v3i1.7416

Abstract


Stiff stochastic differential equations arise in many applications including in the area of biology. In this paper, we present numerical solution of stochastic differential equations representing the Malthus population model and SIS epidemic model, using the improved implicit Milstein method of order one proposed in [6]. The open source programming language SCILAB is used to perform the numerical simulations. Results show that the method is more accurate and stable compared to the implicit Euler method.

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References


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