Linear vs standard information for scalar stochastic differential equations (Q700169)

The authors study the strong order of accuracy with respect to the mean squared \(L_2\) error of Itô-Taylor series methods applied to scalar nonlinear stochastic differential equations globally on the internal of integration. The error differences between methods which use only the Wiener increment and higher-order Itô integrals differ only by \(\sqrt{6/\pi}\) asymptotically. Of course if comparisons are made at a single point this result is no longer true.