$\epsilon$-Strong Simulation for Multidimensional Stochastic Differential Equations via Rough Path Analysis

Jose Blanchet, Xinyun Chen, Jing Dong

Consider a multidimensional diffusion process $X=\{X\left(t\right):t\in [0,1]\}$. Let $\epsilon >0$ be a \textit{deterministic}, user defined, tolerance error parameter. Un…