This folder contains files for studying the convergence of various numerical methods in finding the numerical solution of linear and nonlinear stochastic differential equations (SDE).

Files included in the folder:
- StrongConv_eQL.m: tests the STRONG convergence of the Euler-Maruyama (EM) algorithm,
                    the Milstein (M) one, as well as its derivative-free (M2), for the 	
                    numerical solution of a linear SDE

- StrongConv_eQNL.m: tests the STRONG convergence of the Euler-Maruyama (EM) algorithm,
                    the Milstein (M) one, as well as its derivative-free (M2), for the 	
                    numerical solution of a nonlinear SDE

- WeakConv_eQL.m: tests the WEAK convergence of the Euler-Maruyama (EM) algorithm,
                    the Milstein (M) one, as well as its derivative-free (M2), for the 	
                    numerical solution of a linear SDE

- WeakConv_eQNL.m: tests the WEAK convergence of the Euler-Maruyama (EM) algorithm,
                    the Milstein (M) one, as well as its derivative-free (M2), for the 	
                    numerical solution of a nonlinear SDE

- WeakConvH_eQL.m: tests the WEAK convergence of the Heun (H) algorithm,
                   for the numerical solution of a linear SDE