Optimal convergence rate of modified Milstein scheme for SDEs with rough fractional diffusions

03/22/2021

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by   Chuying Huang, et al.

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We combine the rough path theory and stochastic backward error analysis to develop a new framework for error analysis on numerical schemes. Based on our approach, we prove that the almost sure convergence rate of the modified Milstein scheme for stochastic differential equations driven by multiplicative multidimensional fractional Brownian motion with Hurst parameter H∈(1/4,1/2) is (2H-1/2)^- for sufficiently smooth coefficients, which is optimal in the sense that it is consistent with the result of the corresponding implementable approximation of the Lévy area of fractional Brownian motion. Our result gives a positive answer to the conjecture proposed in [11] for the case H∈(1/3,1/2), and reveals for the first time that numerical schemes constructed by a second-order Taylor expansion do converge for the case H∈(1/4,1/3].