Abstract
This paper aims to present a new pathwise approximation method, which gives approximate solutions of order
for stochastic differential equations (SDEs) driven by multidimensional Brownian motions. The new method, which assumes the diffusion matrix non-degeneracy, employs the Runge-Kutta method and uses the Itô-Taylor expansion, but the generating of the approximation of the expansion is carried out as a whole rather than individual terms. The new idea we applied in this paper is to replace the iterated stochastic integrals
by random variables, so implementing this scheme does not require the computation of the iterated stochastic integrals
. Then, using a coupling which can be found by a technique from optimal transport theory would give a good approximation in a mean square. The results of implementing this new scheme by MATLAB confirms the validity of the method.