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An analytic approximation for the solution of the equation above is given, namely the drift and diffusion coefficients are Taylor approximations of the functions \\(a\\) and \\(b\\). If \\(0=t_0<t_1<t_2<\\ldots<t_n=1,\\) \\(\\delta_n=\\max_{0\\leq k \\leq n-1}(t_{k+1}-t_k)\\) is an arbitrary partition of the interval \\([0,1]\\), then the approximation is the form  \\[ \\begin{multlined} X_t^n =X_{t_k}^n+\\int_{t_k}^t \\sum_{i=1}^{m_1} \\frac{a_x^{(i)}(s, X_{t_k}^n)}{i!} (X_s^n-X_{t_k}^n)^{i} \\,ds+\\\\ \\int_{t_k}^t \\sum_{i=1}^{m_2} \\frac{b_x^{(i)}(s, X_{t_k}^n)}{i!} (X_s^n-X_{t_k}^n)^i \\,dw_s, \\quad 0 \\leq k\\leq{n-1},\\end{multlined} \\]  where \\(X_{0}^n=\\eta\\) a.s. The authors compare in the \\(L^p\\)-norm, \\(p\\geq 2\\), the solution of the first equation to its approximation. 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