TANAKA, HIDEYUKI; YAMADA, TOSHIHIRO - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450014-1
Motivated by weak convergence results in the paper of Takahashi & Yoshida (2005), we show strong convergence for an accelerated Euler–Maruyama scheme applied to perturbed stochastic differential equations. The Milstein scheme with the same acceleration is also discussed as an extended result....