Numerical Solution of Degenerate Fourth Order SDE Model by Milstein Scheme

In this paper, we use a Milstein scheme to develop a numerical technique for solving Stochastic differential equation which we had its deterministic form in our last article \cite{Tepological}, we discuss the existence and uniqueness solution of deterministic and stochastic form, and then we show the advantages of the method with numerical example.

کلیدواژه ها:

Milstein scheme ، Lax-Milgram Lemma ، Degenerate Differential-Equation ، Stochastic Differential Equation