Optimal approximation of SDE's with additive fractional noise (Q2507586)

A pathwise approximation of scalar stochastic differential equations (SDEs) with additive fractional Brownian noise of Hurst parameter \(H>1/2\) is considered under the mean square \(L^2\)-error criterion. The Malliavin calculus is used to derive the exact rate of convergence of the Euler scheme for non-equidistant discretizations. Moreover, a sharp lower bound is established for any methods which use a fixed number of bounded linear functionals of the driving fractional Brownian motion. The Euler scheme based on a discretization, which reflects the local smoothness properties of the equation, matches this lower error bound up to the factor 1.39.