Expansion of the global error for numerical schemes solving stochastic differential equations

Given the solution (Xt ) of a Stochastic Differential System, two situat,ions are considered: computat,ion of Ef(Xt ) by a Monte–Carlo method and, in the ergodic case, integration of a function f w.r.t. the invariant probability law of (Xt ) by simulating a simple t,rajectory. For each case it is pr... View More