Desmond J. Higham, Xuerong Mao, Andrew M. Stuart, Strong Convergence of Euler-Type Methods for Nonlinear Stochastic Differential Equations, SIAM Journal on Numerical Analysis, Vol. 40, No. 3 (2003), ...

The errors are measured in the mean square sense. Several numerical examples are included, and numerical results indicate that second-order schemes compare favorably with Euler's schemes and ...