Pathwise convergence rate for numerical solutions of stochastic differential equations (Q2882363)

By an approach involving embedding in a new probability space, this paper derives the rate of pathwise weak convergence of the weak Euler-Maruyama scheme NEWLINE\[NEWLINEx^\varepsilon_{n+1}= x^\varepsilon_n+\varepsilon f(x^\varepsilon_n)+ \sqrt{\varepsilon} \sigma(x^\varepsilon_n) \xi_{n+1},\quad x^\varepsilon_0= x_0NEWLINE\]NEWLINE for approximating the solution of the stochastic differential equation NEWLINE\[NEWLINEdX(t)= f(X(t))\,dt+ \sigma(X(t))\,dB(t),\quad X(0)= x+0,NEWLINE\]NEWLINE where \(B(t)\) is a standard Brownian motion.