For a scalar stochastic differential equation, the Milstein method adds the quadratic-variation correction
(1)
Under standard smoothness assumptions it has strong order of convergence one and weak order of convergence one.

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  1. Euler-Maruyama method
  2. Stochastic differential equation
  3. Stochastic calculus
  4. Stochastic process
  5. Probability theory
  6. Probability and statistics
  7. Area of mathematics
  8. Mathematics
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