Moment estimation in uncertain differential equations based on the Milstein scheme

作者：

Highlights：

• A new difference scheme of uncertain differential equation called the Milstein scheme is derived.

• It is theoretically shown that the Milstein scheme is superior to the previous Euler scheme.

• The Milstein scheme is applied to the method of moments so that the estimated uncertain differential equation fits the observations better.

摘要

•A new difference scheme of uncertain differential equation called the Milstein scheme is derived.•It is theoretically shown that the Milstein scheme is superior to the previous Euler scheme.•The Milstein scheme is applied to the method of moments so that the estimated uncertain differential equation fits the observations better.

论文关键词：Uncertainty theory,Uncertain differential equation,Method of moments,Milstein scheme

论文评审过程：Received 21 January 2021, Revised 6 November 2021, Accepted 21 November 2021, Available online 6 December 2021, Version of Record 6 December 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126825