Optimal approximation of stochastic differential equations with fractional Brownian motion

We are interested in finding an optimal approximation of stochastic differential equations (SDEs) with fractional Brownian motion (fBm) with Hurst parameterH > 1 /2. We present a numerical scheme that obtains the optimal rate of convergence with low computational costs. In addition, e will demonstrate the accuracy of theoretical result by presenting a numerical example

Keywords:

Optimal rate of convergence , fractional Brownian motion , stochastic differential equations