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In this article, we study a numerical scheme for stochastic differentialequations driven by fractional Brownian motion with Hurst parameter H in (1/4;1/2). Towards this end, we apply Doss-Sussmann representation of the solutionand an approximation of this representation using a first order Taylorexpansion. The obtained rate of convergence is n^(2H+rho), for rho smallenough.

Numerical scheme for stochastic differential equations driven by fractional Brownian motion with 1/4 < H < 1/2