A Taylor-based local linearization scheme for index-1 SDAEs achieves pathwise convergence of order 1/2 minus any positive epsilon under local Lipschitz and Khasminskii conditions.
Stochas- tic Processes and their Applications, vol 130, num 8, p 4968-5005
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Pathwise convergence of a linearization scheme for stochastic differential-algebraic equations under the local Lipschitz coefficients
A Taylor-based local linearization scheme for index-1 SDAEs achieves pathwise convergence of order 1/2 minus any positive epsilon under local Lipschitz and Khasminskii conditions.