The strong weak convergence of the quasi‐EA

In this paper, we investigate the convergence of a novel simulation scheme to the target diffusion process. This scheme, the Quasi‐EA, is closely related to the Exact Algorithm (EA) for diffusion processes, as it is obtained by neglecting the rejection step in EA. We prove the existence of a myopic coupling between the Quasi‐EA and the diffusion. Moreover, an upper bound for the coupling probability is given. Consequently we establish the convergence of the Quasi‐EA to the diffusion with respect to the total variation distance.