Castell, Fabienne; Gaines, Jessica - In: Mathematics and Computers in Simulation (MATCOM) 38 (1995) 1, pp. 13-19
We describe a method of approximation of strong solutions to Stratonovich differential equations, that depends only on the Brownian motion defining the equation. h being the step size, it is known that the order of convergence of such approximations is h in the general case, and of h in some...