Mackevičius, Vigirdas - In: Mathematics and Computers in Simulation (MATCOM) 44 (1997) 2, pp. 109-121
Let Xt, t ∈ [0,T], be the solution of a stochastic differential equation, and let Xth, t ∈ [0,T], be the Euler approximation with the step h = Tn. It is known that, for a wide class of functions f, the error Ef(XTh) − Ef(XT) is O(h) or, more exactly, C · h + O(h2). We propose an extension...
