Milstein Approximation for Free Stochastic Differential Equations

Abstract: This paper derives a new numerical method for approximating Free Stochastic Differential Equations with strong convergence order one. Previously, the authors derived a free variant of the Euler-Maruyama method, which obeys strong convergence order of 0.5. In this paper these results are extended using multiple operator integrals and Taylor expansion of Operator Functions. The new method can be viewed as the free variant of the Milstein-Method for Stochastic Differential Equations. In addition, we generalize the results of the free Euler-Maruyama method to Lp({\phi}), 1 \leq p \leq \infty.