A Lagrangian scheme for numerical evaluation of the noncausal stochastic integral (Q2300957)

A noncausal approach to the numerical evaluation of the stochastic integral is considered as a special case of the numerical solution (in strong sense) of the SDE. It may be believed that the precision level of such an approximation scheme that uses only a finite number of increments \(W(t_{k+1}) -W(t_k)\) of Brownian motion, would not exceed the order \(O(1/n)\) where \(n\) is the number of steps for discretization. A very interesting result is presented in this note, a simple but not trivial example showing that this belief is not correct. The main result is the next: \(E |I(g,T) - I_n(g,T)| < \sqrt{\pi}eM \cdot (8T)^{\frac{n+1}{2}} \Gamma(\frac{n}{2})\).