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.
Potential Analysis, vol 8, p 205-216, Springer(1998)
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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.