Numerical error for SDE: Asymptotic expansion and hyperdistributions (Q1408179)

The Euler method for approximating the solution of the vector stochastic differential equation \[ d\xi_w(t)= \sum^n_{k=1} A_k(\xi_w(t)) dW^k+ A_0(\xi_w(t)) dt,\quad \xi_w(t^0)= \xi_0, \] is shown to converge quasi-surely and its rate of weak convergence is found by asymptotic expansion.