Pardoux, E.; Talay, D. Discretization and simulation of stochastic differential equations. (English) Zbl 0554.60062 Acta Appl. Math. 3, 23-47 (1985). Let \(X_ t\) be a solution of the following Itô-type stochastic differential equation \(dX_ t=b(X_ t)dt+\sigma (X_ t)dW_ t\). The authors consider approximation schemes of the type \(X_{t_{i+1}}=f(x_{t_ i},W.)\) for the processes \(X_ t\). They discuss both pathwise and mean-square convergence of several approximation schemes and estimate the speed of convergence and errors. As far as the pathwise approximation is concerned the results are connected to the second authors paper, Stochastics 9, 275-306 (1983; Zbl 0512.60041). In the second part the authors discuss schemes for which \(\limsup_{n\to \infty}n^ 2E(| X^ n_ t-X_ t|^ 2)=C_ t\) holds and compare this with several approximations suggested in the literature. Especially the results from many doctorial theses are mentioned which are not published in regular journals. There are finally some numerical results by Monte-Carlo-approximations and stability discussions. Reviewer: M.Breger Cited in 63 Documents MSC: 60H10 Stochastic ordinary differential equations (aspects of stochastic analysis) 65C05 Monte Carlo methods 65L05 Numerical methods for initial value problems involving ordinary differential equations 93E25 Computational methods in stochastic control (MSC2010) Keywords:approximation schemes; speed of convergence; numerical results; stability Citations:Zbl 0512.60041 × Cite Format Result Cite Review PDF Full Text: DOI References: [1] ArnoldL.:Stochastic Differential Equations, Wiley, New-York, 1974. [2] Ben Arous, G: ?Repr?sentation explicite de la solution de certaines ?quations diff?rentielles stochastiques?, Th?se de 3? cycle, Univ. Paris 7, 1981. [3] ClarkJ. M. 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