Convergence of numerical schemes for stochastic differential equations (Q2724977)

After listing the explicit Euler, implicit Euler, Milshtein, and stochastic Newmark methods for numerically approximating the solution of a stochastic differential equation of the form NEWLINE\[NEWLINEdX= b[X(t)] dt+ \sigma[X(t)] dW(t),\quad X(0)= x_0,NEWLINE\]NEWLINE the convergence in probability of the approximate to the actual solution is proved for a wide class of methods that include the above methods provided certain conditions (notably that \(b\) and \(\sigma\) be locally Lipschitz and that \(X\) does not explode on the interval of interest) hold.