AbstractThis paper is devoted to the large class of stochastic differential equations of the Ito type whose coefficients are functionally perturbed and depend on a small parameter. The solution of a such equation is compared with the solution of the corresponding unperturbed equation, in the (2m)‐th moment sense, on finite intervals or on intervals whose length tends to infinity as small parameter tends to zero. Some numerical estimations of these intervals with respect to the parameter are also given. (© 2006 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)