Numerical Scheme For Stochastic Differential Equations Driven By Fractional Brownian Motion With 1/4 < H < 1/2

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.