Abstract
A one-step scheme is constructed, which, as the Milstein scheme, has the strong approximation property of order 1; in contrast to the Milstein scheme, our scheme does not involve the simulation of iterated Itô integrals of second order. To cite this article: A.B. Cruzeiro et al., C. R. Acad. Sci. Paris, Ser. I 338 (2004).
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