In this article, we study a numerical scheme for stochastic differential equations driven by fractional Brownian motion with Hurst parameter H∈ (1 / 4 , 1 / 2). Toward this end, we apply Doss–Sussmann representation of the solution and an approximation of this representation using a first-order Taylor expansion. The obtained rate of convergence is n-2H+ρ, for ρ small enough.
- Doss–Sussmann representation
- Fractional Brownian motion
- Stochastic differential equation
- Taylor expansion