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Numerical scheme for stochastic differential equations driven by fractional Brownian motion with 1/4 < H < 1/2 (1904.03113v1)
Published 5 Apr 2019 in math.PR
Abstract: In this article, we study a numerical scheme for stochastic differential equations driven by fractional Brownian motion with Hurst parameter H in (1/4; 1/2). Towards 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 n2H+rho, for rho small enough.
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