Convergence rate of strong local linearization schemes for stochastic differential equations with additive noise (Q438716)

The local linear (LL) discretization methods for the numerical integration of systems of stochastic differential equations with additive noise use a linearization of the systems with consequent integration of the obtained linear systems. Local linear discretizations require a numerical implementation in the form of local linearization (LL) schemes. The authors consider some LL schemes and prove their strong convergence.