Abstract
We discuss both pathwise and mean-square convergence of several approximation schemes to stochastic differential equations. We then estimate the corresponding speeds of convergence, the error being either the mean square error or the error induced by the approximation on the value of the expectation of a functional of the solution. We finally give and comment on a few comparative simulation results.
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Pardoux, E., Talay, D. Discretization and simulation of stochastic differential equations. Acta Appl Math 3, 23–47 (1985). https://doi.org/10.1007/BF01438265
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DOI: https://doi.org/10.1007/BF01438265