Strong rate of convergence for the Euler-Maruyama scheme of additive fractional SDEs with Lipschitz drift

Tsukasa Moritoki

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arXiv · 2607.24166

Strong rate of convergence for the Euler-Maruyama scheme of additive fractional SDEs with Lipschitz drift

Tsukasa Moritoki

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Abstract

We study the strong convergence rate of the Euler-Maruyama scheme for additive stochastic differential equations driven by a fractional Brownian motion with Hurst parameter $H \in (0,1)$. Assuming the drift coefficient to be Lipschitz continuous, we show that the rate is $1$ if $H \in (1/2,1)$, and $1/2+H-\varepsilon$, for any $\varepsilon>0$, if $H \in (0,1/2]$. The main ingredient is a shifted stochastic sewing argument, which exploits the conditional Gaussian structure of fractional Brownian motion to control the noise discretization error.

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Tsukasa Moritoki. 2026-07-27. Strong rate of convergence for the Euler-Maruyama scheme of additive fractional SDEs with Lipschitz drift. https://arxiv.org/abs/2607.24166

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