Topic: Simulating SDEs: Euler-Maruyama and Milstein

Weak Error for Smooth Test Functions

Weak Euler Bias for Ornstein-Uhlenbeck Moments

Vector Euler-Maruyama and Correlated Noise

Time Grids and Brownian Increments for SDE Discretization

The Scalar Milstein Update and Brownian Increment Squares

Strong and Weak Convergence of SDE Schemes

Proving Weak Order One for Euler-Maruyama

Proving Strong Order One-Half for Euler-Maruyama

Proving Strong Order One for Scalar Milstein

Multidimensional Milstein and Commutative Noise